[Superfuelgero]

Electrical drain from the heater and lights is part of it. this is especially true at lower rpms where the electrical load detector (ELD) commands full alternator power. A higher ELD signal to the ecu will also raise you idle speed.
The other is the slower time to get up to temp (especially if running the heater). Lean burn (LB) is engine temp limited in the lower gears (ie: too cold, won't LB).

Plus the whole minor difference in air density (air drag and pumping losses), but again, its minor.