That's typical. Those different sources (TV, DVD player, Blu-ray player) are sending signals at different levels to your receiver. Different discs will often have different levels, too (at least in my experience), so one movie might need to be turned up or down to have the same volume as another.
If your TV volume is also controlled by the volume setting on the TV like mine is, you can adjust the volume on the TV to better match one of the other sources. That's what I do with my system.