It only scans for networks when you open that menu. Opening the menu triggers the OS to look for available wireless networks in case you want to connect to a different one. So unless you plan on leaving that menu open perpetually, it won't be scanning, and thus won't be an additional burden on the battery.
Even though I am connected to and can use a wireless network the MBAir airport pulldown menu shows it constantly searches for a WiFi network.
Will this drain the battery sooner?

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