Lower friction from lower air density at high altitude reduces drag on you truck. I lived in Leadville, Colorado for 12 years (elevation is 10,200 ft). I installed a 1988 Cummins 4BTA in a '91 F-150, 4wd, short box, 5 spd manual, while I lived there. Prior to that, the engine was in a 1984 Ford van, E 150.
I kept a log of all fuel that went into the truck for 150,000 miles. I made many round trips to Redding, California, and Portand, Oregon during those years. Fuel mileage was always about 2 mpg higher when I was at home in Colorado.
I also noticed that when I traveled down long 7% downgrades (starting at 11,000 ft) in Colorado, I needed to apply brakes frequently. In Oregon and northern California, those 7% downgrades started at around 4000 ft, and very little, or no braking was required. So, yes, air density plays a significant role in fuel economy.