I remember having this experience at the end of prior summers spent in the high country. So I did a web search and found a piece of relatively reputable research which says this loss indeed happens. You can find the article, from Wired Science, here. WebMD also has a piece on this phenomenon. An article in the Journal of Applied Physiology says this weight loss may only apply to Caucasians, or perhaps to people who customarily live at much lower altitudes.
A really fascinating way to check this out would be to see if the obesity epidemic which is sweeping the U.S. is as serious in the mountain west: CO, WY, ID, UT, NM, AZ , NV. Comparing weights in these states with states at sea level like FL, LA, CT, MD, AL would be instructive.
Business opportunity: locate a fat farm in West Yellowstone, MT where the elevation is approximately 6700 feet and the scenery is beautiful.