To start out with to understand why this is, you need to understand a little about how the automatic transmission functions. The responsibility of any vehicle tranny is to keep an engine in a particular operating range at all times, and convert the torque from the gas engine in to progressive acceleration. While the end outcome is the same between an automatic and standard transmission, they do it in very distinct manners, and there are several important reasons why a manual tranny will commonly receive better miles than an auto.
First, The key to the modern auto tranny is the torque converter. It takes the place of a clutch in a standard tranny. Torque converters use a technology known as "hydraulic coupling". This can be compared to setting one fan in front of some other then turning one on and noticing the breeze from it turn the blades of the other fan. Granted torque converters are more efficient than this example, but you can see how there would always be more slippage in an auto transmission. Even in trannies with innovative technology that try to lock-up the torque converter there'll always be some of this same slippage under acceleration, they just do not have the slippage problem at constant highway speeds. Basically an auto transmission's input shaft isn't directly coupled to the gas engine at all, it is coupled through a torque converter.
A standard transmission, however uses a clutch plate that directly couples the gas engine and transmission. When you release the clutch pedal, springs push the pressure plate against the clutch disc, which in turn pushes against the fly wheel. This locks the motor to the transmission input shaft, causing them to rotate at the same speeds.
Second, auto trannies are much more complex than manual transmissions, they have alot more components than a manual transmission. All these parts add weight, revolving weight. Rotating weight has a much more substantial difference on performance loss than stationary weight.
Nonetheless, a standard transmission is alot less complicated. The manual tranny doesn't rely on the great number of additional components that an automatic transmission counts on to shift. It instead counts on the driver to do the shifting for it. You can see how this would make it a lot less complicated.
Last, the state-of-the-art auto transmission is designed to offer as smooth of shift as attainable to the driver. Basically they're engineered to make the shift transparently. They detect rather or not you're accelerating hard or speeding at a normal rate, and they adjust automatically to make the shifting and gas engine rpm's more aggressive.
However, with a standard tranny, you get the capability to select when to shift, and can do what's known as "short shifting". Which is a method that allows you to shift well before redline, and keep your gas engine in its optimal powerband and gasoline mileage range at all times.