What if there's current INTO an output pin?
The transmit current specification relates to how much power the entire module draws when the radio is transmitting, not the I/O pin drive capability.  

I/O pins can generally source and sink current.  Sometimes you get I/O pins that can only sink current, these are called open drain or open collector outputs.  The pins used to drive I2C busses are open drain pins as they can only pull the bus low - it is pulled high with pull-up resistors.  

As far as the XBee is concerned, it should be able to sink at least a few mA on its output I/O pins.  The datasheet lists the output drive voltages while sourcing or sinking 2 mA of current.  Doesn't look like they list a maximum value, interestingly.  Just make sure the pull up resistor is reasonably sized - try something between 1k and 10k ohms.