Usually it's a benefit for energy usage anyway.

CPUs are most energy efficient sitting idle doing nothing, so finishing work sooner in wall-clock time usually helps despite overheads.

Energy usage is most affected by high clock frequencies, and CPUs will boost clocks for single-threaded code.

Threads waiting on cache misses let CPU use hyperthreading, which is actually energy efficient (you get context switching in hardware).

You can waste energy in pathological cases if you overuse spinlocks or spawn so many threads that bookkeeping takes more work than what the threads do, but helper libraries for multithreading all have thread pools, queues, and dynamic work splitting to avoid extreme cases.

Most of the time low speed up is merely Amdahl's law – even if you can distribute work across threads, there's not enough work to do.