Agreed. I suspect the misperception (which is common) comes from the fact that we get better mileage at high-RPM highway than low-RPM city. On automatic sh*t torque converter based transmissions that difference can be even more drastic. Of course the difference there is non-steady traffic. A lot of energy is wasted through braking and the engines are a lot less efficient during acceleration (and deceleration).
Modern vehicles are engineered around maintaining certain thresholds on emissions. So how much fuel it burns centers more around how much air it intakes, and how oxygen rich that air is. If you restrict airflow (less throttle or simply very hot) it's going to burn less fuel. The throttle plates typically have a hole in them to allow some air through, even when the throttle plate and if applicable, a computer-controlled bypass known as IAC are closed. Every other down stroke on a piston is guaranteed to intake some air. To avoid loosing energy on the compression cycle and potentially throw off emissions, that air must be mixed and ignited. Re cylinder deactivation tech, cam-phaser/VVT technology is progressing. Engineers are rumored to be working on ways to keep the valves open on a particular pair or single cylinder, thereby wasting less energy on the upstroke by eliminating the compression.