I found this problem recently in Illustrator CS5. Make a new document, either RGB or CMYK, make a rectangle, and click on the fill of the color palette. Set K to 10%, and the RGB changes to non-even 230, 231, and 232:
As others have stated, you should read up on color management in general. It's a large subject so it's a bit much to explain it all here.
Your Illustrator document is (consciously or not) set up with an RGB profile and a CMYK profile. When converting colors (for example as you do in the Color Picker) Illustrator use these two profiles to do the conversion. If you choose different profiles, the numbers will be different. There is no simple mathematical connection between RGB and CMYK!
CMYK profiles are created by agreeing on a set of standard conditions (inks, paper, equipment etc.), printing physical sample sheets, measuring the results and using those measurements to create a kind of conversion table.
What you have experienced is simply that if a printer (which follows the CMYK standard you have chosen) prints a 10% black halftone raster, the resulting color is ever so slightly blueish - not 100% neutral.
Remember that it's the physical world. CMYK printing is one big compromise. It might not be possible (or too expensive) to create a completely neutral black, the black ink might look slightly red in dark tints and slightly blue in light tints, the paper isn't completely neutral either because of the materials it's made from and so on.
(Just to blow your mind: Try selecting a neutral RGB color and watch how the CMYK values becomes a mix of cyan, magenta, yellow and black and not just a percentage of black!)