It's more to do with avoiding drivetrain binding than fuel efficiency (although the two are related). When you corner, if all four wheels are driving at the same speed, then you'll end up forcing wheels to rotate faster or slower than they need to go. As a rule, when you corner, your front wheels travel further than the back wheels.

If your back wheels are rotating at the same speed as the front wheels while you turn, then you'll induce wheelspin on the rear and potentially lose control, or damage your tyres, drivetrain, or engine.

Full-time 4WD and AWD cars have three diffs, one on each axle, and one between the two.

Others have mentioned the RAV4 which actually has two separate drivetrains, which is a different implementation all together.