An engineer in my studio says it sounds different.
What is the difference?

Entire Mix will include signals routed to other hardware outputs like headphone mixes. If you don't have anything routed anywhere other than Main Outs, there should be no difference.

Like brundlefly said, if "entire mix" and "main outs" sound different then you've got a problem with your routing. You could export both and do a null test to compare the files and verify that there is no difference, or, if there is a difference, identify what's different. Normally, they'd be identical. 

Best way, to make sure you know what you're getting when you export every time, is to set up a Master bus. I put it to the far left of all busses. Route your final output from all else to the Master bus. Route the Master bus to your hardware output. Set the fader to 0db. Whenever you export, select bus export, and deselect everything except the Master bus.

I have checked one of the projects he reckons it exports differently and everything look ok.
All tracks going to master bus or other busses and all busses going to master bus.
Master bus going to main outs (1-2 hardware outs).
In this situation exporting to Entire Mix and Main Outs should sound the same right?

I've been using Sonar since 2005. The "Entire Mix" selection for export has always been so vague to me as to what it actually is, that I've never used it. So that I always know exactly what's being exported, and through and from what, I always export from a bus set up as the Master. I just wish they had a "select/deselect all" so when I have many busses, I don't have to manually deselect every one of 'em except the Master every time I export.

djoni
I have checked one of the projects he reckons it exports differently and everything look ok.
All tracks going to master bus or other busses and all busses going to master bus.
Master bus going to main outs (1-2 hardware outs).
In this situation exporting to Entire Mix and Main Outs should sound the same right?

Export both ways, then create a new project and import those two files into two audio tracks in the new project. Invert the polarity of one of them and listen. Should be silent. 

Will try that Bitflipper

Its possible that your mixout has some plugins on them. Combined with the entire mix with all the plugins on the tracks and busses could cause the difference. If you put a compresser on the mixout then all your processed tracks would go to the input of the compresser and be compressed again.
Just a thought.

javahut
I've been using Sonar since 2005. The "Entire Mix" selection for export has always been so vague to me as to what it actually is, that I've never used it. So that I always know exactly what's being exported, and through and from what, I always export from a bus set up as the Master. I just wish they had a "select/deselect all" so when I have many busses, I don't have to manually deselect every one of 'em except the Master every time I export.

Shouldn't all the busses be routed to the Master bus? Then, when you set Master as the export source, you export exactly what you hear when you play back the project (after muting unwanted tracks).
Why would you need to deselect the busses that the tracks are routed to? That would mean you need to manually route every track to Master bus instead of the bus, wouldn't it, otherwise they wouldn't be exported? I don't understand your workflow.