Does reheating a roux based sauce thin it out?
I would think that if there were a change, that the sauce would be thicker, due to water vaporizing and the fridge that tend to dry things out.

So, I think it's in your head, but of course I could be wrong.

The one reason why it might appeared so, is because the sauce will become thinner if you reheat it, compared to the consistency it had when it was in the fridge or at room temperature.