Generally, no; you're just taking advantage of heat that would otherwise be rejected to the outside by the radiator. Maybe running the associated electric fan would affect consumption a bit, but it would be hard to measure.
There are/were exceptions. Early Corvairs, some Volkswagens, and a few other cars had optional gasoline- fired auxiliary furnaces, that greatly affected fuel consumption, but if the alternative is being cold, you wouldn't care. I think similar furnaces are still available, and useful in instances when you wouldn't want to run the propulsion engine just for heat.