The Difference
RGB (Red, Green, Blue) is for screens. It uses light to create color, allowing for neon brights.
CMYK (Cyan, Magenta, Yellow, Key/Black) is for print. It uses ink. You cannot print neon light.
The Shift
When you convert a bright neon RGB blue to CMYK, it will look muddier. To avoid surprises, always design in CMYK mode or use a 'Soft Proof' profile in your software to preview how the colors will shift.