expand gradient changes colors

[Zafire]

I am using Illustrator CS on WinXP. When I expand a gradient, it changes the colors in the gradient from RGB to CYMK. I have everything in Illustrator -- every preference and option that I can find or think of set to RGB. Is this a bug? How can I retain RGB colors when expanding a gradient? Thanks.
Zafire

 

[operamatic]

Are you sure your color space your working in is rgb (File>Document Color Mode) the only way it would change is if you convert to cmyk or your preview is set to cmyk under View>Proof setup.