Most energy sources will "sag" when you increase the load. (The exceptions will be ones that use some sort of regulator and feedback.) Your battery is one of the ones that sag.
Two points:
- Your load isn't a resistor so it isn't covered by Ohm's law.
- Ohm's law will apply to the battery's internal resistance.

Figure 1. A very simple example - an LED and a button cell. Image source: Battery and LED without resistor (mine).
LEDs are supposed to have their current limited and a series resistor is commonly employed. Many of the cheap key-fob LED lights don't have one. Why not?
The answer is that the cell's internal resistance is just about right to limit the current to a safe value for both the cell and the LED.
If you can measure the load current it is easy to work out the internal resistance, \$R_i\$ (using Ohm's law).
$$ R_i = \frac {V_{OC} - V_{LED}} {I_{LED}} $$
where \$ V_{OC} \$ = the cell open-circuit voltage, \$ V_{LED} \$ = the voltage when the LED is connected and \$ I_{LED}\$ is the current through the LED.
You can read a little more in the linked article.