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I come from this question http://stackoverflow.com/questions/16287921/python-matplotlib-change-axis-labels-legend-from-bold-to-regular-weight
There, Alexander Vogt explains that the default serif font is not Computer Modern Roman (as it is in any LaTeX document). Instead, the default is New Century School Book, and Alexander claims that it is set by texmanager.py (https://github.com/matplotlib/matplotlib/blob/master/lib/matplotlib/texmanager.py). I think that maybe it wasn't the original intention when texmanager.py was written, because of the line:
serif = ('cmr', '')
and what is said in the old issue: #882
Don't you agree with Computer Modern Roman as the default serif font?.
Meanwhile, the following trick is a workaround:
font = {'family':'serif', 'serif': ['computer modern roman']}
plt.rc('font',**font)