A couple things could be happening.
You could be comparing things of different elements, for example. Frozen Fate multiplies elemental damage, which is really really good, but if you aren’t using that element it does nothing for you.
You could also be comparing items of different ilevel or quality. Comparing one weapon with ilvl 100 / iq 25% to another with ilvl 50 / iq 0% will result in obvious dps differences.
Also, I’m guessing your Heroic Skill points are increasing damage for axe skills (since you mentioned Satyr’s Bane as your MH), which would explain why you see a drop in dps if you tried a lance. For example, having +5 Cleave on your helm would all of a sudden do nothing.
The main thing though, and what @Skaul was alluding to, is that the multipliers on an item are really what make it valuable. You might have 20k dps on your MH now, but those other items have affix multipliers that your MH doesn’t have – and when it comes to maximizing your damage to every last slot on all your items, even one +100% damage affix is a no-brainer decision.