Do unused outlets consume electricity?
No, unused outlets do not consume electricity, but that doesn't mean you can't lose energy through them.

As already stated in the comments, they are referring to air drafts. The air leaks from all around the socket and past the wall plate, not just through the plug holes.

You're right though, even still, the volume of air passing through is quite small, but is continuous. When companies advertise energy savings from insulation of electrical outlets and light switches it is generally on the order of tens of dollars per year. It could be more depending on the level of insulation in your walls and how many outlets you have. The International Association of Certified Home Inspectors claims that electrical outlets can account for 2% of the air leaks in a person's home.



Flir makes a line of infrared cameras for detecting such air leaks in homes. Flir further claims that "Heat losses in buildings can account for up to 50% of the total energy consumption and comes from air leakage through chimneys, attics, wall vents and badly sealed windows/doors, etc." Presumably with electrical outlets falling into the etcetera category.

Also the US Department of Energy has some useful information on air leaks and other energy vampires.