Just to add to staryl13's response.
It does look as though for some reason the water did not pass through the shell, or your balance or scale is not sensitive enough to measure the change.
Air actually does have weight
! Air has mass, so it weighs something. You can think of air as being similar to water, which is also a fluid. When you dive underwater, all the water on top of you is exerting pressure on you (which is why your ears hurt). It is the same way with air. We are so used to having this pressure on us that we don't know it's there! Just like there are "layers" of water in a pool (each layer supports the layer above it and is also pushed by that layer), there are layers of air in the atmosphere, all exerting forces on each other.
A quick experiment you can do is to take an accurate balance or scale and measure a deflated balloon. Then fill the balloon with air (well...not helium as it would float) and it should weigh more! http://www.worsleyschool.net/science/fi ... eight.html
Check out these websites for more information:http://www.weatherquestions.com/How_muc ... _weigh.htmhttp://startswithabang.com/?p=672
So, the air in the shell was contributing to the weight. It appears as though the water didn't go into the shell, but the air went out.
You might also check the accuracy and precision of your scale and make sure that you aren't letting the eggs dry too much before weighing them. It is possible that your scale or balance is not sensitive enough to measure the change, and it is just registering as being less.