jesusm:
The sensor readings are not equals when the relay is activated.
That sounds like the relay is being powered from the Arduino and is affecting the Arduino's 5v supply. If so it may damage the Arduino.
Give the relay a separate power supply.
If this does not solve the problem post your complete program using the code button </> so it looks like this and make a pencil drawing showing how everything is connected and post a phot of the drawing.
It's strange, I'm using one official shield relay. And I introduced the corresponding mpx capacitors. If the problem continues, i'll use an external power supply of 5V and i'll coment.