If so, that is where your draw is. The light inside the switch, usually an Light Emitting Diode (LED), does require a small amount of electricity to operate, about 12 to 24 volts is the range. It uses the light fixture to complete the power loop, but at a low enough voltage to not power on the fixture. There will be, however, power passing through the wires at all times.
Years ago (Iím not saying exactly how many) I learned about the illuminated switches the hard way, by replacing a light fixture by simply turning off the switch, not the breaker. The resulting tingle was nowhere near the 110v version, but was plenty to get my attention.
Some other interesting facts: Illuminated switches may not work well, or at all, when combined with florescent light fixtures. This is because many of them (not all) do not offer a clear power loop between hot and neutral like an incandescent bulb. A similar problem will exist for a illuminated switch and a outlet that does not have a lamp/etc. plugged into it.
If neither switch is illuminated, you may want to replace the switch(s), as there may be a short.