Wifi is not a bigger drain than cpu when you're playing CoD on your mobile. Your smart phone now has multiple cpu's and would have a GPU. When you're doing something intensive like CoD it will fire up that GPU and suck up power.

Wifi power used will vary with a few factors, how far you away from the station, how many other wifi signals, etc.

In addition a big bright screen uses a lot more power than wifi. But that would be used either way so not part of the comparison.