Turbulence.
When the air flows over the cab, there is what is known as a boundry layer where the speed of the air changes based on how far away from the cab you measure it.
The trouble happens when the air reaches the end of the cab.
At the back of the cab, some of the air tries to stay attached to the cab and curls under, causing a large rotating bubble of air in the bed. All that rotating motion requires energy, and that energy is coming from the burning of fuel.
If you can keep the bubble in the same place, you can keep the same turbulence, and the same energy consumption.
By removing the tail gate, you change the whole air flow pattern and allow that curling mass of air to basically roll out the tailgate. When that happens, there is tremendous turbulence as more air rushes in to take the place of the curling mass, but it rushes in from all sides and looks like someone handed a 1yo kid a crayon to draw the flow lines. All that confusion costs a lot of power/energy. Eventually the flow settles down and it makes a new curling mass, which eventually rolls out the bed and it all starts again.
If you keep the tailgate up, you can keep that same mass of air behind the cab in the bed, and control the turbulence.
If you use a fast-back like bed cover (think Dave Whitmer), you can keep the flow from separating until it gets to the back of the tailgate, completely eliminating the turbulence in the bed.
Personally I'm extremely surprised they didn't do something like that with this truck. If Dave can get +3MPG with his tapered bed cover, it'd probably be worth at least 5MPH in a race or timed run.