"What??? The lights don't use up petrol, they are powered by the battery"
Do you think they are magic lights that get their power from nowhere?
the battery powers the lights, the alternator charges the battery, the engine drives the alternator, the engine uses fuel. The more drain on the battery the more load on the alternator and the more work the engine needs to do to turn it to keep the battery charged.
It's a negligible amount (as toureman said) but having any electrical item on in your car increases fuel consumption, if it didn't we would all run our houses off a car battery for free!