I'm pulling this out of my ass...so here goes
I would guess that the computer compensates for the extra air flow by increasing the amount of fuel going into the mixture, thus the loss of MPG. The extra power is the result of more air and fuel being injected into the cylinder (think of it this way, more TNT, bigger explosion)
I don't fully understand the benefits/pitfalls of running your fuel mixture lean or rich (lean = higher % or air than "normal", rich = higher percentage of fuel, IIRC) I wonder what a combination of the "cold air box and K&N" mod and the "10%+ HP boost" mod you see on ebay would result in.
IIRC, the mod from ebay alters what the ECM seems as a fuel mixture ratio by installing a resistor divider circuit on the O2 sensor (??)
here is an example of the mod on ebay
http://cgi.ebay.com/ebaymotors/ws/eB...category=33597
any way you look at it, these are pretty cheap mods that are easily reversable if they don't work. ENJOY!!