Boiler losing pressure only when central heating is on, and only a little, leak?
Your expansion tank may be the problem. 

From wikipedia:


  An expansion tank or expansion vessel is a small tank used to protect closed (not open to atmospheric pressure) water heating systems and domestic hot water systems from excessive pressure. The tank is partially filled with air, whose compressibility cushions shock caused by water hammer and absorbs excess water pressure caused by thermal expansion.


If it's busted you will have pressure fluctuations in the heating circuit.