So if you're lucky enough to have code that can benefit form 256 bit vectors then AVX will double your performance and power then the thermal management system will throttle you back down to regular power and 80% of your regular clock speed for a net of merely a 60% increase in performance. Which is really nice if you happen to be doing all 256 bit wide vector math. If you're only infrequently using vectors your vector speedup will be smaller but so will the increase in power that needs to be overcome so it's still a net win.
On top of that is a CPU frequency multiplier that is variable and the upper limit is unlocked on certain processor and motherboard combinations. If you have an unlocked multiplier you can set the maximum multiplier for each of the Turbo states (1-core, 2-core, through all-cores). You could configure them to all be the same multiplier, or just scale up the default behavior of running at a higher clock speed when fewer cores are active.
For similar reasons server processors (Xeon E5, E7 series) throttle the core clock in AVX "mode".
AVX2 might have also been just a bit too late to be integrated outside the microcode.
As usual, actual achieved clock speeds depend on thermal performance and are not fixed. If cooling is completely insufficient, the clock frequency will drop below base clocks, i.e. thermal throttling.
To clarify: This isn't a secret, but part of the specs and even in some Intel slides. (However, platform and processor specs, even at a basic (product D/S) level, tend to be a rather lengthy read, so most do away with reading all that).
Nitpick, and certainly a matter of definition, but it's not clocking the processor down, it's just unable to turbo like it can with other loads.
There is the normal base frequency (which is, again, the one people see on the box. Intel calls it "marked TDP frequency")
There is the avx base frequency, which is less. If you execute all avx workloads, it will clock down to the avx frequency, which is below the marked tdp frequency.
They are very explicit about this: "Workloads using Intel AVX instructions may reduce processor frequency as far down as the AVX base frequency to stay within TDP limits."
See http://www.intel.com/content/dam/www/public/us/en/documents/...
IE if you buy a 2.3ghz processor, and run all avx workloads on it, it may operate at 1.9ghz