Low energy femtosecond laser pulses locally increase the refractive index and the hydro-fluoric acid etching rate of fused silica. These phenomena form the basis of a direct-write method to fabricate integrated glass devices that are of particular interest for optofluidics and optomechanical applications. Yet the underlying physical mechanism behind these effects remains elusive, especially the role of the laser polarization. Using Scanning Thermal Microscope and Raman spectrometer we observe in laser affected zones, a localized sharp decrease of the thermal conductivity correlated with an increased presence of low-number SiO2 cycles. In addition, we find that a high correlation exists between the amount of structural changes and the decrease of thermal conductivity. Furthermore, sub-wavelength periodic patterns are detected for high peak power exposures. Finally, our findings indicate that, to date, the localized densification induced by femtosecond laser pulses remains well below the theoretical value achievable in mechanically densified silica.