RealClearScience reports mountain climbers who spend time at high altitudes eat less than needed to keep their weight up, and lose weight. Meanwhile, the government's Center for Disease Control reports that obesity is least prevalent in Colorado, which is also the state with the highest mean elevation - 6800 feet.
I spend four+ months a year above 6000 feet in the Rockies and during that time typically lose a few pounds without dieting. Coincidence? Perhaps not.