While annealing, NP-s coupled together - forms either aggregates or fused together and forms bigger size - it'll alters the surface plasmon eventually wich leads to peak shift
are you using the same excitation wavelength before and after the annealing?... Measure the UV spectrum before and after annealing. If there is changes, there must be morphological changes as said by Dr. Murugesan Muthu which changes the emission spectra also..
First of all after annealing grain size or particle size increases it alter the energy band gap. the reason of system of emission peak shift depends on system to system but overall annealing affects the surface states of nanoparticles that results in shift in emission spectra.
There are many factor related to this, however it also depends upon material you anneal. here is one of my paper you can find some detail about how annealing affect PL of sol gel synthesized SnO2