It actually does when you're off-road. If you can keep all tires in contact with the ground you aren't wasting fuel spinning one that isn't in contact with the ground (I keep the traction control off when offroading to avoid the system engaging its brake-based power delivery since it isn't an actual 4x4.)

The difference has been absolutely measurable, with a ~15% increase in fuel efficiency in very hilly or rutted terrain.