In general, most camera LCDs are much higher contrast and much higher saturation than a general purpose computer monitor. They are tweaked this way because it makes the images look more vibrant on a small and low resolution display, but without more careful adjustment, they would look very artificial on a larger, higher resolution display at the same over-saturated and overly vibrant levels.
The difference between camera displays and desktop displays is just something that comes with the territory and is to be expected. It isn't necessarily a bad thing. The camera display gives you a somewhat accurate quick picture of the detail of the image that is quickly and easily visible and is generally more directly backlit than your computer monitor (allowing for more vibrance in general.) To get colors to be accurate and believable at larger size however, you still need to do some color work in post.
It also does help to have a good color quality monitor with calibration as desktop monitors often have notoriously inaccurate and poor color, particularly on the cheaper end. There is a good reason why people that need accurate color end up spending $600 on the low end and $2000+ on the high end for a 24 inch monitor for working with color. Generally either the contrast or brightness just isn't as high on most cheap consumer monitors. Newer LED monitors do allow for pretty strong contrast and brightness, but a lot of consumers still have TN panel LCD monitors. (LED monitors have their own issues as well, but that's beyond scope for here.)
So basically, it comes down to the fact that the purpose and design of the preview screen is very different from the purpose and design of your computer monitor. Additionally, as Nir points out, our perception of color is different based on context even if we have the exact same output from the monitor (though in 99% of cases, we don't.)
It's also worth pointing out that both are reasonably true representations of the output. The most true you could get would be to bring the black and white points well within the range of whatever display you are on so that you can see all the detail that was actually captured, but in practice, the bigger concern should be making the image look good and you should adjust the curves and black/white points such that detail is visible on the screens or prints that you will be using for presentation. The final image matters far more than what was actually captured.