Short answer: Yes it does!
It would be wrong to say that Not Connected status does not drain the battery at all. However, the drain rate is significantly less as the device is not connected to any access point (for Wi-Fi) and Bluetooth radio doesn't consume much battery anyways.
In iOS 11, it is not possible to completely turn off Wi-Fi and Bluetooth from the Control Centre. It could only be done from within the Settings app.
Quoting from the Apple Support document, Use Bluetooth and Wi-Fi in Control Center with iOS 11
About Wi-Fi and Bluetooth
In iOS 11 and later, when you toggle the Wi-Fi or Bluetooth buttons in Control Center, your device will immediately disconnect from Wi-Fi and Bluetooth accessories. Both Wi-Fi and Bluetooth will continue to be available, so you can use these important features:
- Apple Pencil
- Apple Watch
- Continuity features, like Handoff and Instant Hotspot
- Instant Hotspot
- Location Services
Thus, it is apparent that battery draining will still happen. However, the device disconnects from Wi-Fi access point and Bluetooth accessory.