In short: It’s sometimes not. What a lot of people don’t take into account is today’s transmissions making the engine extremely efficient at creating movement at the wheels, but aerodynamics allows cars to be far more efficient than they once were.
Example: Take a Corvette made anytime in the last 20 years or so. The gearing is usually designed so that the engine only has to turn at say 2,300 rotations per minute in order to make the car maintain roughly 80 mph in its top gear. Those 2,300 rpm would only allow the car to go maybe 25mph or so in the first gear. The transmission by itself allows the car to use relatively little fuel to maintain 80mph once it gets there. In Corvettes in particular, tests have shown (due to transmission as well as their massive engine) their most fuel-efficient speed is actually around 85mph. Each car has a certain speed where its engine size, transmission, and aerodynamics all create a “peak efficient speed,” and a few decades ago, that speed was closer to 55mph.
Long Story Short: Engines use less energy due to having transmission gears, but this is usually only up to a certain speed before wind resistance overcomes it, and it takes far more power to go even a little faster. Sportscars are not only designed to be pretty, but they’re also very nearly aerodynamically perfect, meaning they get way less air resistance so they cut through the air better.
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