Yes, it's like any other function that you have running. Just like your battery lasts longer in airplane mode, when it's not connected (or trying to connect to) the AT&T network. It doesn't "kill" your battery--but yeah, it will drain it more than if it were off.
Actually the opposite can be true depending on the circumstances
If the iPhone is set up to fetch email at regular intervals, and If there is a WiFi network around that you're not using, EDGE will deplete the battery faster than WiFi.
If you use a WiFi network instead of EDGE, you can extend your battery life by about 25%. But it depends on how much email you have. EDGE is so much slower than WiFi, that it takes more power over a given time to perform the same job.