I don't quite know how the depth of field (dof) is judged. From my naive and optimistic understanding this would be the case:
If you have two cameras with identical optics and identical sensor size, yet different in number of pixels (say 8MP vs 4MP), you should get different dof statements. The dof of the 4MP camera should be better (wider) than that of the 8MP camera. This is because at the lower end of the dof, the 4MP cam has a pixel size comparable to the blur disc size. The 4MP cannot detect the remaining blur (hence sharp) due to lack of pixel resolution while an 8MP sensor could (hence blurred). So for any given optic, an increase in sensor resolution (not size) will lead to a decrease in dof. The picture of the 8MP will likely be about as good as the 4MP picture at the lowest focal range of the 4 MP camera. But not better - the advantage of the higher resolution is lost due to blur at this distance.
That is how I understand the problem.
TL/DNR: If you increase pixel resolution, it will reveal already existing blur which was invisible at the previous resolution.