This is a very common complaint.
When I was racing 60 mile road race, I emailed my coach and said that I couldn't push my legs hard enough to hurt my lungs. Here is what he said.
"This is a tough one because there are a lot of factors.
In general, at no point in cycling (assuming you aren't really hammering) are you really challenging the "strength" of your legs. You do so in sprinting. And often in some surging type efforts of 10s or less. Crazily enough, even when riding at threshold you are basically doing the equivalent of slowly walking up a set of stairs in terms of the 'weight' you are lifting.
Assuming that someone has around 2000 calories of glycogen on hand when absolutely, completely filled up, and that when riding hard the glycogen contribution can be more than 50% of your fuel source (up to 75% at threshold), and you might be burning close to 1000 calories per hour, you basically don't have unlimited matches to burn in a race, especially if you are in moves and close to threshold. The heavy feeling is the accumulation of waste products that your body simply isn't able to recycle / turn back into fuel, If your glycogen stores were at all compromised before the race you might have 2hrs of that kind of riding in your legs before you'll really start to feel it. They've kind of disproven "lactic burn", but they have shown that lactic acid is a marker for when other waste products can't be processed as fast as they are produced.
So that is one possible factor there. That might give rise to the feeling of not being out of breath, but your legs killing you.
The whole Lance Armstrong "spin fast" thing belies the fact that the guy lost weight, did drugs, and also vastly improved the ECONOMY of his riding. So that is another factor. You can be a low cadence guy and have great economy. Or a fast cadence guy and have great economy. The studies that have tried to prove that you can consciously change your pedaling cadence and have that impact your threshold power have been inconclusive"
End email.
With that being said, cardiovascular wise you are doing more than you think. I usually only become out of breath with very hard efforts or hills. But think about a perfect running race for you. Are you really that out of breath? Or are you just focusing on a steady breathing pattern and not letting your legs fail. I can guarantee I am just as strong cardiovascular wise when I was running 90-100 miles weeks. The only noticeable change is in my legs. They have become much more defined, and I have added 1-2 inches of muscle. Running feels very awkward for me now. My friends have noted that I look skinnier than when I was running however. So maybe you are just building muscle?