Because if airflow increases then the amount of fuel the engine is fed also increases. The ECU has to maintain the same air-to-fuel ratio, so if you increase airflow the ECU also increases fuel flow by the same percentage, thus you're using more fuel.

When the throttle is constant, such as crusing on the interstate, then the ECU lowers the timing and air to fuel ratio to conserve on gasoline, in which case more air would behoove fuel economy because a higher ratio of air in the cylinder allows the fuel to combust more evenly giving more efficiency per unit. Thus increased airflow helps economy in a highway situation.

I've also experienced this first hand after installing cold-air intakes. Decreased city mileage, increased highway mileage.