Not necessarily though. I have a older Rio product that has 64MB of internal memory and it has a compact flash slot. I have it loaded up with a 256MB card. The Rio was slated for 12 hours of running time on a single AA battery. I would constantly get over 12 hours regardless of where my music was coming from. The same goes for my cellphone and my roommate's iPhone. He plays music only off of his microSD card and my cellphone can use either its internal memory or microSD card. Both units still get around the advertised battery life when playing back audio.
So I know that the battery time will not always decrease as my ~9 year old Rio, 2 year old cellphone, and roommate's 1 year old iPhone don't. Hence, I am kinda curious if this is true with the Zen or not. I have a 16GB SDHC card coming in so it is only a matter of time before I really find out. If anything I see the battery life decreasing by only a couple of hours. I don't think SD cards consume enough power to decrease the battery life from 25 hours to around 12 hours as SD cards consume no more power than the internal memory of these devices.