I would tend to agree that changing wallpapers, fonts, icons and the like would have little affect on the phone's performance. Perhaps there might be some effect if the theme had an animated wallpaper, maybe. Even at that the processing power needed to animate a wallpaper would have to be taxing a nearly maxed processor. Besides that I really can't think of any other way a theme could affect performance. I could imagine a theme taxing the battery a little more. If you were used to the life you were seeing running all dark themes and then using a theme that was bright or that had an animated wallpaper, one might notice some difference in battery life.
Are you asking because you feel like the device is running slower after trying a theme? I ask because if so, could it be that you're paying closer attention to the device after the theme change? It may be a perception thing, just because you're paying attention now.