As other's have stated it isn't about the actual size of the wheel per se, it's about the weight of the wheel and the type of rubber and width of the tire. The weight makes a big difference, all things being equal tire wise, a set of 24" wheels made out of titanium or magnesium (i.e.: very light weight) would be more efficient than the standard 20" wheels. But, as others have pointed out, typically when you go to a bigger rim and a lower profile tire, you also go to more of a performance tire which do have a greater rolling resistance.
Real world best efficiency would be achieved buying the lightest 19 or 20" wheel you can find, (that still has the necessary weight rating) and purchase a set of tires specifically designed for low rolling resistance. Also, buy the narrowest tire you can get that will still fit the rim (again, beware of weight ratings) this will decrease rolling resistance as well. You will suffer some in handling and cornering performance, but most people looking for economy aren't concerned about carving high speed corners.