Diesels have MUCH smaller combustion chambers, but that has very little to do with it.
Diesel fuel has about 130,000 BTUs of energy per gallon. Gasoline only has about 115,000. So, let's say it takes 40 hp in your car to sustain highway speed. A diesel will require less fuel burned to make the same power.
Diesels are also higher compression, which means that of the BTUs stored in the fuel, more are released as power than in a comparable gas engine.