Reason is your client saves them at that time, and doesn't ask the "server" (your Android device) for the original time stamps.
You could try using a SSH server on your Android device. DroidSSHd would be a good choice, for example. To copy your files then you need to start this SSH Server first on your phone, which usually tells you the IP and port used. Now you can use any SSH client on your Ubuntu workstation, or from the shell, use the
scp -p -P 2222 192.168.1.15:/sdcard/DCIM/*.jpg .
would be an example:
-p: Preserves modification times, access times, and modes from the original file
-P 2222: Use port 2222 (that's what DroidSSHd uses by default)
192.168.1.15: IP of your device (replace this with what the SSH server shows)
/sdcard/DCIM/*.jpg: All JPEG files from your camera folder on the SD-card (check for the correct path)
.: Copy files to the current working directory
There might be graphical solutions available as well -- but I mostly work from the command line, so I cannot give you examples for those.