The alternator requires energy to drive it. If you've ever had an alternator belt off, switched on the ignition and tried to turn the aternator pulley, you willl find it difficult if not impossible to turn. The more current you draw by switching on heaters and radios then the harder it is to turn, which as it's turned by the engine increases fuel comsumption.
If I press the max demist button in my car, the heated front and rear screens come on, the heaters go to full blast and red hot, and the air con comes on, all at the same time. Can certainly hear the engine bog down then come back up to idle speed quite dramatically, so it must be putting a huge load on the alternator to almost stop the engine!