According to the EPA, the 2WD 2019 Mazda CX-5 gets an estimated 25 mpg in the city and 31 mpg on the highway. The AWD 2019 Mazda CX-5 gets an estimated 24 mpg in the city and 29 mpg on the highway.
So, yes, the 4WD (AWD) 2019 Mazda CX-5 will get lower mileage than the 2WD models. This is because the AWD system adds weight to the vehicle, which reduces fuel efficiency.