Hi svarun:
I think that's correct reasoning. I think you will also see a reduced radiation efficiency as well, due to the extra losses in the antenna itself. That is, the ratio of radiated power to the power applied to the antenna terminals will also be reduced, so keep an eye on your total gain numbers. If your antenna modeling software or measurement system automatically renormalizes the antenna pattern, you might not notice this right away because the antenna pattern and directivity probably won't change much.
Usually, though, your substrate loss isn't the dominant loss mechanism; more often it is the metal losses--unless you're trying to put an antenna on some sort of heavily-doped silicon RFIC chip or something.
--Max