What happens when current sourced from a switching regulator goes too low
You have to look at the efficiency from the standpoint of actual power in versus power out. When you have a very light load the regulator circuit itself may very well consume more power than what is delivered to the load (i.e. efficiency &lt; 50%). If the standby / no load power consumption of your regulator is higher that you would like then you may very well want to look for a regulator solution that is more efficient than this particular part. 

Since you are looking at such a low current draw at the load the use of a 2A capable regulator may be overkill. Look for a uPower regulator designed for less current rating of say 100-300 mA for example. 

It may also be helpful to look at alternate topologies. If your unit spends almost all of its time in the idle state it may be that a uPower linear regulator may actually give you better overall power savings off your battery as it's standby current at low load could very well be less than the idle power of the switcher.