From a developer's point of view, it would make sense, since the WiFi needs to constantly be looking for networks to join. This takes up CPU cycles which in turn use up battery. Same thing with Bluetooth. Thus, it is guaranteed that having both of them on will drain the battery more than having them off. The only question is how much it drains the battery.
Originally Posted by loudrims_inc
However, there are cases where having WiFi on will actually save battery. I believe 3G uses up more battery than WiFi, so if you are in a location that has WiFi and you're using data, you're better off enabling WiFi so that it is used automatically instead of the 3G.