OK, first post by the most anally retentive member of this group (how do I know? I just do

)
Just out of interest:
Diamond density: 3.52 (assuming "pure" diamond, i.e. just carbon)
Sapphire density: 3.98 (again, assuming relatively pure corundum + a little bit of titanium and/or iron - most likely artificial)
Sooo... to have the same weight, a diamond has to be about 5% bigger in each dimension(w x h x d) than a sapphire with the same proportions. Add to this that usually colored gemstones are cut deeper than diamonds, and voila. Same size to the eye, and much more weight.