It's not just macro lenses.
ALL lenses should get slightly darker when you focus on things closer to the lens, unless it's specifically corrected for (which it might be on modern lenses, including macro ones).
When you focus on things nearer to you, the lens or a focusing group is moving further away, and the image circle is essentially getting slightly larger, thus diffusing the light out and causing less of it to fall on the sensor/film.
Think about a view camera. You focus by moving the entire lens forward and backward, right? This is precisely the same thing you're doing when you use extension tubes, for instance, and the same side effects of brighter or darker images will result without changing mathematical aperture. You just don't normally notice it, because the difference in lens distance for 10 feet versus infinity is very small, plus it may be corrected for in modern lenses.
Even if it isn't corrected for in the engineering of the lens, it would still effectively be corrected for automatically in modern cameras due to TTL metering. The camera will detect slightly darker scene, and lower your shutter speed by 1/3 of a stop or whatever, without you necessarily realizing why, and you'd still get a fine exposure.
Mine doesn't to that.... focus to minimum and it's still 2.8.
Hmm I thought Nikon did that with most lenses, both own and 3rd party ones. What lens are you using?
Micro Nikkor 105mm 1:2.8 AF-D. I just fired off two shots, one at infinity, other at minimum.. both report 2.8.
I would expect it to still always report 2.8. Because the aperture isn't changing, even if it may be getting darker. You need to check the histograms to address this question, not the reported aperture.
Aperture strictly defined is the focal length / the diameter of the restricting aperture. When you move the whole lens closer or further to achieve macro magnification, you aren't actually changing the focal length, nor the size of the opening. Thus, it's still technically 2.8 But it should still get darker if and when the lens is being moved further from the body