i like to speculate about this with no substantiation
when you breathe at sea level, you get 100% oxygen saturation into the blood without having to breathe in deeply...so you don't tend to breathe in as deeply as you can.
by not breathing in deeply, some of the alveoli (bridge from lung to blood) do not open up all the way and do not transport oxygen as well. this is not a problem at sea level.
however, when at altitude you start breathing more (overbreathing, hyperventilating, whatever). I think naturally you increase ventilatory rate by increasing number of breaths, not how deep you breath. so you are still being inefficient with opening up the alveoli.
plenty of people have noted you should try to breath deeper at altitude, and I think its because of this. the problem is, if you are not used to breathing that deeply, perhaps the respiratory muscles are not in great "endurance condition" and therefore may fatigue after some time.
if you practice these straw breathing techniques, perhaps it would improve your respiratory endurance? then maybe it is of benefit. again, I have no data to back up, just thoughts.
this brings back a question, do swimmers deal with altitude better than non swimmers? i speculate because they may have better respiratory strength...