Axle efficiencies come into play. The internals of the transmission [working through a fluid] driveshaft and axle gears [working through a fluid] have to spin at higher rates, consuming more energy.
...
Last week I did some very unscientific testing in my '73 Dart (360ci A518, 3.55:1 in a 8-3/4 rear axle).
Tried to measure drivetrain losses with the help of the MegaSquirt ECU and TunerStudio.
Proceded by raising the rear tires just of the ground, put transmission into Drive, throttle it a bit and let it upshift to 3rd and into OD.
Then I let the engine 'idle' with the wheels spinning, making sure the trans stayed in 3rd+OD by looking at the speedometer.
Then I checked the engine-load kPa with TunerStudio.
Did the same with trans in neutral.
Difference in load with transmission in Neutral and in OD was just 5 kPa (30kPa in N, 35kPA in OD).
About 5 kPa drivetrain (transmission & rear axle) loss, at low rpms.
Now I didn't test at higher speeds to see if the difference would be greater.
