Um...no Boodro. It all has to do with aerodynamics. The tailgate creates a 'bubble' of air, keeping air from flowing over the rear of the truck. With the tailgate down, there is no bubble and the air travels the entire length of the truck and contacts more hard surfaces, that means more aero drag, which means lower gas mileage.
Hyuz-
There were two identical trucks (Frod 150's at that), with the same tire pressures, very similar mileage, identical options, etc. The only difference was one truck had the tailgate up, one had the tailgate down. Being the test was done over real roads by real drivers, the results are a little more realistic then lab tests. BTW, the truck with the tailgate UP went 30 miles further down the road the the truck with the tailgate DOWN. Not a huge difference, but enough to make it to a gas station in almost any situation.