Use a spectral analyzer on the master to see what frequencies you might be building up.
When you bounce them out separately, all of the compression, limiters or any other mastering type stuff gets applied to the SINGLE track. Essentially making that one track bigger and fuller, but not taking into consideration what the other tracks are doing.
Whereas, when they are all together, your compression is maximizing the sum of all parts into 1. Reducing frequencies in other areas to make room for the whole track.
There could be lots of things going on… if you have a multiband compressor on, you could be compressing certain frequencies MORE because there is a lack of the other tracks. So what might be going on, is you’re compressing the same frequency on all of your individual stems, then when played together later, that frequency ends up having a huge boost.
Edit: Oh yeah… to get around it. JUST TURN THEM ALL DOWN! Or look at what frequencies are building up and scoop them out. Or just address the issue on your master channel when bouncing…