On my old '02 ZTS I was having a similar issue, where my MPG was steadily declining until it got as low as 21-23 MPG. My issue turned out to be my DPFE sensor (EGR pressure feedback).
I found an easy way to test it as well, simply go to your firewall and unplug the wiring pigtail from the DPFE sensor. If, after you unplug it, your MPG improves then you know it was the problem. >Here<
is a photo showing the DPFE sensor near the brake fluid reservoir. After I unplugged mine, my MPG immediately went up to 25-27.
Another recommendation, if you do find your DPFE sensor is bad, don't cheap out on the replacement. I bought a generic chinese cheap-o replacement on eBay and it was worse for my MPG than the OEM one that went bad. Go with a genuine Motorcraft part, it will be more expensive but its worth the difference. After replacing mine with a quality part my MPG returned to the normal 27-29 MPG.