over the years one of the first mod i will do to a car is to replace the panel filter with K&N drop in replacement filter. Only recently i have proven to myself it save on the fuel on HWY by up to 15% on cruise control.
My dad bought a BMW 740IL about a year ago and i replaced the panel filter with a drop in replacement (K&N) by using the onboard computer to tell me how much fuel its using. By changin the panel filter the fuel comsumption actually drop by 14.7%. I took a reading before and after i changed the fileter travelling on the same road, same speed, same weight load and same type of fuel (mobil 98).
I have heard people saying that more air into the engine means it will burn more fuel. But as far as i know the way K&N filter works is it straightened the air flow out before it gets to the combustion chamber and the filter let the engine suck in the air easier. Its like OEM filter is like a tissue folded in two twice therefore its thick and harder for the engine to suck the air in. But the K&N panel filter its like a tissue folded into only therefore it makes the engine easier to suck. Less energy wasted.
Perhaps SK might be able to explain better.
Anpther thing i find that by changing the ECU to Power FC although it produces more power the fuel consumption actually almost stayed the same as before. It also largely depends on your driving style i guess.