Likely mostly thinner air resulting in a thinner air-fuel mixture. Also resulting in correspondingly less HP, but most of us rarely notice that difference unless we're racing from a stop light or towing.Over dozens of trips from Texas to Colorado and many well beyond that, I consistently get better mileage at altitude than near sea level where I live. I assume it has to do with fuel and possibly spark adjustments by the ecu more than thinner air offering less wind resistance.
You lose ~3% HP per 1000' due to the thinner air and thus reduced amount of fuel used to meet the ~14.6-to-1 A/F target (or whatever the ideal ratio is... I cannot recall offhand. If you don't *need* the extra HP (like when just normally cruising) then you'll get an MPG improvement in exchange