Typically, a radio is responsible for a big part of a device's current draw. Even though the XBee radio modules are designed to be low in power, their maximum power usage is typically in the 40-80 mA range while receiving. The XBee modules have the same current usage while transmitting, with the long range XBee PRO modules needing up to 500 mA.
Fortunately, all these modules can be put to sleep just like your microcontroller, bringing their power usage in or below the μA range (less than 1 μA for the XBee ZB modules).
Of course, when an XBee module is sleeping, it will be unable to receive any messages that are addressed to it. This creates a number of problems that need to be solved by the networking stack. In a ZigBee network, this is done by introducing a new class of devices called end devices (in addition to the coordinator and routers that you saw before), which are allowed to sleep.
To allow these end devices to sleep, some things work differently for them than what...