This is common to nearly all Graphics Cards and programs.
It's much more stressful on the GPU to render in a window than it is to render fullscreen.
This is because the GPU needs to keep the OS desktop loaded into Graphical RAM in case you click on the taskbar or on another window.
Most games have it coded to remove the Desktop Graphical User Interface from graphical RAM when you enter full screen mode.
You may not notice slowdown with slightly older games but that is because your GPU is fast enough to render the desktop AND the game simultaneously.
More recent games, however, will always demonstrate a drop in FPS when rendered out of fullscreen.
This is just the nature of the graphics card and PC being forced to render two separate virtual environments, and keep both loaded into conventional RAM in an interactive state simultaneously.