See Fig 2 in The Secrets of Electric Guitar Pickups located at http://buildyourguitar.com/resources/lemme/
Fig 2 shows that the pickup is a signal source filtered by a low-pass filter composed of the inductor, resistor, and capacitor.
The capacitor is in parallel with the load resistance that is hooked up to the pickup. When the pickup is heavily loaded, the load resistance is very small in comparison to the impedance of the capacitor. This effectively removes the capacitor from the circuit.
What you have left is a series circuit consisting or the inductor, resistor, and load resistor.
The impedance of the inductor is higher at higher frequencies, so it drops more voltage at the higher frequencies which leaves less for the load resistor.