One of the fastest ways to drain your battery is by constantly keeping connections open sensing and receiving data. Apps normally create algorithms which queue up data so that bursts of data can be sent at a time (or received) and focusing on keeping the connection open for as short a time as possible.
There are quite a few methods of doing this, but when it comes to tethering apps the device on the other end sending and receiving data doesn't care about how long your data connection is open for. You PC has no awareness that it's tethering from a mobile phone (or whatever device it is) so you're constantly straining your CPU.
Straining may not be the best word because it kind I'd sounds like after a while you can break something after straining it hard enough eh?
Well I guess technically you can wear down your device and shorten it's life span by doing this daily but let's say instead, you're constantly flexing that big CPU muscle of yours to show off to the ladies.
Continuous movement creates friction creates heat which warms your muscles up. Yeah this is probably more than you needed to know but I'm in a giving mood. Any mobile device will get hotter and hotter over time with continous "flexing" of that CPU and eventually hopefully will throttle your speeds down some to compensate. Otherwise it'll eventually reboot itself once it gets too hot. No harm done. Hopefully no harm done...well maybe hopefully with a slim chance of no harm done.
Actually it's more like an ever growing collection of hydrogen gas slowly being pulled in and squeezed together so tight that exponentially that the internal heat increases so much causing these hydrogen molecules to fly around faster and faster until eventually they are moving with so much energy that they overcome their natural tendency to repel each other and start colliding into each other causing a chain reaction of hydrogen molecules fusing together.
No wait, that's how a proto-star ends up turning nuclear and becoming a fully functioning star. In all actuality I believe you'd end up burning your battery up and needing a battery replacement before burning your CPU if you kept you device that hot on a day to day basis, especially if outside in the summer time. Unless you have a Samsung device I doubt it'll burst into flames causing 3rd degree burn to your children (yes Samsung... I said it).