I'm talking about the files as well. My D300 has the same behaviour, but I didn't see it until I switched from 4GB to 8GB cards, and then it really threw me for a loop.
For whatever reason, the camera will consider a directory as "full" if it has 999 photos (as opposed to files, in case of NEF+JPEG) in it. It doesn't matter what numbers those photos have, just how many there are in the directory.
I assume you're shooting raw, so you normally can't fit 999 photos on a 16GB card, but can on a 32GB card. (I shoot JPEG, so I saw this at 8GB.)
On your 16GB card, you might shoot say 800 pictures before filling the card up. So you get dsc_0001 to dsc_0800. Then you switch to an empty 16GB card and carry on. There are no photos on this card, so no "full" directories, so you get dsc_0801 to dsc_1600 in the same directory name. And if you never get more than 999 pictures to a card, this continues up to dsc_9999 and then a new directory gets created.
But what if you switch to your 32GB card at dsc_1600? Now you can get say 1600 pictures on a card, which is more than 999. So you shoot away, and at dsc_2599 you have 999 pictures in your directory. At which point the camera decides the directory's full, and creates a new one. But it doesn't reset the picture number, so you get a new directory which starts with dsc_2600.
From page 300 of the manual (I realise it's a bit buried): "Note that a new folder is created automatically if a photograph is taken when the current folder contains 999 photographs." It's not clear from the manual, but that always applies, regardless of any settings.
Hope this helps.