2001 Clio no air filter better Mpg??

No, they are completely optional. Manufacturers could save many millions of pounds and free up a load of space under the bonnet if they realised this, but they have trouble thinking outside the (air)box. A bit of dust and grit is good for the engine anyway, just like having some fibre in your diet is good for your health.
Exactly.

If you want to be super anal about it your could put an old sock over the air intake pipe held on with an elastic band.
 
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