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Because the wheels are riding on bearings one way or the other, and the weight alters the shape of the tire and the amount of friction on the tires. Have you ever pushed a vehicle before? If you are pushing a vehicle, and someone gets inside, even if you are not on an incline, the vehicle becomes harder to push. Not much by the standards of the vehicle, but a person can feel the difference. The 4WD components add this weight all the time. The weight harms the fuel economy.
Disengaging the hubs is more to reduce tire wear than to reduce fuel consumption. If you have the hubs locked, then the tires will wear more quickly, especially if you do a lot of turns. If you turn those things by hand, you will see they really don't pose much resistance at all. In any case, this is not relevent to an AWD vehicle. You cannot disengage AWD and doing so can cause severe damage to the drivetrain.
So you think that there is no rotating mass with driveshafts driveshafts, axles and etc? True having hubs helps keep tire wear down but it also decreases the turning radius and it does help mpg by having them disengaged so the front axle and drivehaft doesn't spin. I can easily lose 1 mpg while driving with the hubs locked, it is a known fact that many people notice. I can add 500lbs extra weight to my truck and gas mileage is unaffected.