An engine should be kept in its peak torque range for greatest efficiency. Lowest revs doesnt necessarily equate to lowest fuel usage. For example, around town there is lots of on and off throttle work due to the vagaries of traffic flow. The accelerator will need to be pressed much harder in order for the vehicle to have any degree of acceleration in 6th gear, yet barely tickled for acceleration to take place in 4th gear. Lots of accelerator pedal movement and the engine computer tries to dump lots of diesel into the engine, and for that acceleration period, the economy goes out the window. And because the vehicle is accelerating slowly, the acceleration period lasts longer. And due to the fuel being unburnt, the soot comes out. SLightly oversimplified, but basically that's the theory.
A wise old man once said to me "Son, just because you have all those gears, doesn't mean you need to use all of them all the time".