Its the transmission. In sport mode, it will lock up the torque converter and hold your current gear more aggressively than in normal D. This causes compression braking. Believe it or not, this is actually good for fuel efficiency since the torque converter is locked up so there's less loss through the converter.

In addition, if you are headed up or downhill, same scenario as I said will apply.

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2014 Mazda 3 GT: Ø Consumption: (click for details)