The National Research Council Canada, Ford Motor Company, and DaimlerChrysler test this, and they've all come to the same conclusion: Driving with the tailgate down decreases highway fuel economy, and removing the tailgate usually makes it worse. In many instances, it also increases rear lift at speeds, an undesirable condition in a vehicle with only a third of its weight back there to start with.
Putting a tonneau or hard bed cover over your truck is the best thing you can do for highway fuel economy.
How many times have you tried it?
Or do you just have a religious belief in whatever expert you happen to be quoting at the moment?