It might have been true once, but it's not true for all cars anymore. Vehicles with manual transmissions generally are more fuel-efficient than their automatic counterparts, but not always, and not by much. Take as an example the fuel-sipping 2012 Chevrolet Cruze Eco. Its manual version gets 28 mpg in the city, 42 mpg on the highway and 33 mpg in combined driving. The automatic gets 26 city/39 highway/31 combined. The manual will cost you about $100 less per year in fuel, according to fueleconomy.gov.
With the 2012 Ford Focus, it's the six-speed automatic version that performs better. It gets 28 mpg in the city, 38 mpg on the highway and 31 mpg combined. If you spring for the Super Fuel Economy option package, which also uses the six-speed automatic transmission, fuel economy rises to 28 city/40 highway and 33 mpg combined. When equipped with a conventional manual transmission, the Focus can't match the automatic: 26 city/36 highway and 30 mpg combined. The 2012 Honda Fit with a manual transmission gets 27 mpg in the city, 33 mpg on the highway and 29 mpg combined. The automatic, by contrast, gets 28 city/35 highway and 31 mpg combined.
Source: Bryan Nelson, Edmunds