Yes, it does go down a bit but if I had to guess it would be about 1% for every 5 points over 1.040.
So, for my typical 1.045 session beer where I get 90% efficiency, a 1.060 would get me 87%. It's difficult to isolate the effects of so many variables. You could have had a termperature issue, a different crush, different sparge technique?
The reason why you lose some efficiency is due to the smaller sparge water to grain ratio. You can combat this a bit by using a slightly stiffer mash 1qt/lb or so.