Yes. I saw a guy who had huge tires on his lifted JK, and he told me he gets 9 mpg. That sucks, I could tell even he regretted it. No jeep is that cool. I'd rather have that extra money for other stuff, damn near anything! I used to ask this stuff too, and read all the typical answers like it's a jeep, aerodynamics of a brick, or "just empty every pocket" crap. Well you can enjoy a jeep and be smart about it. How you drive, and how you run it....The gears seem to have a lot to do with it. My first TJ averaged 22 mpg with city/highway driving, it had 3.07 I consider that pretty good mpg for a vehicle. Then I got another TJ with 3.73 gears and ran 31's. MPG dropped to about 17-18.
Besides gears, I noticed tires really can have an affect. I recently went to a bigger tire and yet still noticed improvement in mileage. I think it improved because I went from MT to AT. Tread, width, rolling resistance all are factors. Surprisingly, I found weight to not be a big deal with the wheels/tires. Heck, you could probably put a mild AT/highway type tire and really squeeze a few more mpg's out. too. I personally didn't want that mild of a tire tho'. Had to compromise a bit. It's all what we want out of our jeeps.