Well, let's look at a little context here.
How would you describe the composition of your thighs? Odd question, I know, but here's the thing.. If your thighs have a large amount of fat, then with weight loss, they'll generally decrease in size.. they're losing the wrapper of fat around them. They'll lose the fat when the body is encoded to lose fat there. (generally, think of fat as last on, first off)
Now, if they're mostly muscular, and you can't really pinch anything off of them, they're still likely to go down in size a bit for a few other reasons. One, depending on where you store your fat (everyone is different even if there are certain trends) you still likely have some there depending on your weight and general body composition.
Second, if you're losing an appreciable amount of weight (>20-30 lbs) you're going to likely lose some muscle size in that area just because you're not carrying around as much body weight. For example, I'm 307 trying to get down to 200. I have some massively strong legs from a lot of walking, running and martial arts at the weight I'm at. Do you think my body will retain all that muscle after I drop 100 lbs of load off of them unless I really really REALLY try to maintain it? No, likely not.
Thirdly. I'm going to take a swing at your name and reckon your female. In general, women by design don't pack on a lot of muscle unless they try very hard, have some major genetic superiorities, or are using 'roids. Not that you can't gain muscle, but women don't tend to 'get big' without a truckload of work compared to guys. In my meager experience, women seem to tend to tighten up and get definition more than size.
So really, don't worry about it, and also as Kara said, don't think that there are any magic exercises that will make you lose fat/size in one specific area.