With autosomal DNA assessments, you lose DNA markers that might reveal the ethnicity of an ancestor at the same average rate as you lose markers that might reveal you to be a genetic match to someone with whom you share a common ancestor. I can certainly see why one might be found to be a genetic match to someone with whom the ethnicity assessment is very different. However, that's partly because using autosomal DNA assessments to draw conclusions about ethnicity is almost always a woefully incomplete picture.