As Ray said earlier in this thread, it's because a clogged fuel filter will affect your air:fuel ratio, and anything that does that will negatively affect both engine performance and gas mileage. A clogged filter usually won't affect your gas mileage quite that much though, so my first guess would be a bad oxygen sensor, since that's pretty much the worst thing that can happen to your gas mileage. But in that case, there'd be a CEL to indicate the bad sensor, and since that's not the case... then who knows.