Probably an alarm put in at the dealer.. They commonly install them for security at the dealership. The eventual customer has the choice of paying the $$$ to keep the alarm or the dealer will just deactivate it. Either way, it will always keep flashing.
Are you driving in 4 High? This is the milage I get in the winter in 4 high full time maybe the transfer case has not disengaged your 4 high... I get 17.2 in 2 WD with 33" tires in town 21-22 Hwy