Voltage Gain decreases when load resistance included
Here's the picture: -



Output voltage is \$I_C R_L\$ and, if \$R_L\$ halves then voltage gain halves. I believe you are mistakingly thinking that the collector generates a voltage. It doesn't. A BJT is commonly defined as having current gain i.e. Ic/Ib (or hFE). Input current is proportional to input voltage in the circuit above so now you have the transistor with an output current for a given input voltage.

The output current is converted to a voltage by \$R_L\$ and of course, the lower the value of RL, the lower the output voltage for a given input signal.