We present a study of the centroid frequencies and phase lags of the quasi-periodic oscillations (QPOs) as functions of photon energy for GRS 1915+105. It is found that the centroid frequencies of the 0.5-10 Hz QPOs and their phase lags are both energy dependent, and there exists an anti-correlation between the QPO frequency and phase lag. These new results challenge the popular QPO models, because none of them can fully explain the observed properties. We suggest that the observed QPO phase lags are partially due to the variation of the QPO frequency with energy, especially for those with frequency higher than 3.5 Hz.