Actually, they do - when we are talking about the same architecture, branching design and so on, by the shear laws of physics, a faster processor will eat more juice. Further, two cores will eat more than one core if there is no low-level power management implemented on the CPU itself (within the branching/threading control) to kill the core(s) that is not used - at best it will eat idle_power * number of cores-1 more power than a single core CPU.

But... there is always one but - as CPU architecture advances allowing less branching and more optimized power management (including dynamic core shut-down when needed), and what's more important - as the technology moves from 90nm, to 45nm, to 35nm, to 25nm, to... you need to push far less electrons for the same result, so we are managing to get faster and faster CPUs that on average use the same or even less power.

However, when taking in the consideration the same architecture and production process, single-core will always use less power than multi-core, even if there is core-shutdown management implemented (not on many mobile/embedded chipsets).