We investigate a selected sample of Galactic classical Cepheids with available distance and reddening estimates in the framework of the theoretical scenario provided by pulsation models, computed with metal abundance Z=0.02, helium content in the range of Y=0.25 to 0.31, and various choices of the stellar mass and luminosity. After transforming the bolometric light curve of the fundamental models into BVRIJK magnitudes, we derived analytical relations connecting the pulsation period with the stellar mass, the mean (intensity-averaged) absolute magnitude, and the color of the pulsators. These relations are used together with the Cepheid observed absolute magnitudes in order to determine the "pulsation" mass -M_p- of each individual variable. The comparison with the "evolutionary" masses -M_(e,can)- given by canonical (no convective core overshooting, no mass-loss) models of central He-burning stellar structures reveals that the M_p/M_(e,can) ratio is correlated with the Cepheid period, ranging from about 0.8 at logP=0.5 to about 1 at logP=1.5. We discuss the effects of different input physics and/or assumptions on the evolutionary computations, as well as of uncertainties in the adopted Cepheid metal content, distance, and reddening. Eventually, we find that the pulsational results can be interpreted in terms of mass-loss during or before the Cepheid phase, whose amount increases as the Cepheid original mass decreases. It vanishes around 13M_(sun) and increases up to about 20% at 4M_(sun). ; Comment: accepted for publication in ApJ