Ethanol is 35% oxygen, and there's no oxygen in gasoline. As a result, ethanol has a lower BTU content than gasoline. But in a 5% or 10% blend, there is no mileage difference or mileage penalty. You would notice more of a mileage penalty if you had improper tire pressure in your tires on the car.
On April 20th, 2010. See this statement in context.