I suppose that if people really wanted to conserve fuel, they could shut off their engines during the red light, and the yellow could let them know when it's time to restart the engine.

I'd be worried about causing too much wear and tear on the engine (and the starter motor), but the CarTalk guys said that modern cars are actually just fine in that regard and that you could actually save a bit of fuel that way.

That's probably not the reason for it. More likely it's just to improve traffic flow just a bit, allowing people to get moving more quickly after the light changes.