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Either way (neutral/ICE-on* or DFCO**) you have to get the engine turning. In practice, neutral with it idling has been found to be more efficient. I can give you two reasons why that is the case.
i. Certain conditions must be met for DFCO, including a minimum RPM generally greater than idle speed (often the minimum is in the range of 1000-1500RPM). Thus the DFCO procedure involves rotating the engine more than the neutral procedure, and that extra rotation comes from extra momentum your car loses as you DFCO. Additionally, here you can see why a car can "creep" in first gear: eventually, your engine drops under the minimum threshold, and then fuel is injected, causing creeping.
ii. For neutral, you are burning gas to make the engine turn. For DFCO, you burnt gas in the past that (unfortunately with imperfect efficiency) contributed to your forward momentum that you are now using to make the engine turn. The additional step makes additional work-by-inefficiency inevitable, and so DFCO must be less efficient.
* Coasting in neutral with your engine running at idle.
** Deceleration fuel-injector cut off: under certain conditions, when the car is in gear and you take your foot off the gas, fuel injectors are shut off (zero fuel usage at that moment), and you "engine brake."
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