In fact, according to a recent study cited in an article from Alternet.org, "In testing performed at UC San Francisco's Human Performance Center, researchers found that cardio machines overestimated calorie burn by 19% on average."
But that doesn't mean all your hard work is for not. It just means that you have a little leg work (no pun intended) to figure out your REAL numbers! It's a simple test called a metabolic test, this will give you an accurate look at how YOUR body functions and burns calories.
Once you know YOUR numbers you can then get a heart rate monitor and calibrate it so it is specific to YOU and not just someone who is the same age and height as you. Some gyms, including the Fishers YMCA offer metabolic testing, so be sure to check with your gym.
Check out the article From Alternet to see which other gym pieces of gym equipment are lying to you.