You have to gz-decompress it, which is a harder job, and the only reason you're doing that (at least for images) is to undo the inefficiency you just added.
Ah, gz-decompress the stylesheet itself, ok.
For what it's worth, in my profiles of pageloads in at least Firefox I haven't seen gz-decompression of stylesheets show up in any noticeable way, but I can believe that it could be a problem if you have a lot of data: images in the sheet...
If you're talking about data: background images in CSS, then all the CSS parser has to do is find the end of the url(). It doesn't have to do any base64 decoding or anything like that until the rule actually matches.