You are most likely experiencing the non-linear frequency reception of the human hearing and the frequency response in your playback system.
As listener you perceive a constant loudness of steady tones roughy following this chart (Equal loudness contours or "Fletcher-Munson" curves):
In addition your headphones or speakers frequency response curve is also a variable here, but you probably should not try to compensate for that in your design. You should though try to listen with a system with a rather flat response if you're going to tweak oscillator volumes by ear (i.e. avoid crappy speakers, head phones and amps with "magic" rock eq settings etc).
If possible in your setup you may want to try out loudness compensation to see if that helps. MDA-VST plugins made a Loudness VST for that exact purpose. It follows the Stevens-Davis equal loudness contours.
Btw. there is an old patent from 1979 regarding this exact issue in tone generator designs: Electronic musical instrument with automatic loudness compensation which may be of interest to you also.