This is true of any and all vehicles that push through the air.
Wind resistance or aerodynamic drag is directly proportional to fuel consumption, i.e., the faster you go more gas you'll use. The weight the bike is carrying will increase the rolling resistance (tire to road surface friction, bearing drag) but aerodynamic drag is the big player.
Streamlining is critically important in reducing drag. All newer automobile are very sleek these days, with fenders covering most of the tires and spoilers practically touching the pavement. Even big trucks have bought in to this trend and employ various wind-deflectors designed to soften the square outline of the box they're dragging. Lately I've been noticing semi-trailers with long plastic panels hung from the undersides in an effort to deflect the air from around the rear wheels. It's all about increasing slipperiness and decreasing drag.
I did a long ride last winter in Thailand, riding 2-up but traveling quite slow by most folk's standards, and my brand new CBR turned in an incredible 95 mpg one day. We had a slight tailwind but were enjoying the scenery and going slowly -- our average speed was in the neighborhood of 50 mph. Typically it gets 80-85 mpg.
Chang (Honda CBR250R) | Fuelly
On the other extreme, driving 75 mph smack into a strong headwind with a Suzuki DL650 dropped my mileage from 55-60 mpg to around 35 mpg, worse than many new cars. Driving slow (and with the wind) is the easiest way to increase your fuel mileage.