That's a funny way to put it. The runtime doesn't have much to do with it.
The CPU is designed for processing 32-bit integers, which is why they're the most efficient to use.
In a 64-bit environment, it again depends on the CPU. However, on x86 CPU's at least (which, to the best of my knowledge, is the only place .NET runs), 32-bit integers are still the default. The registers have simply been expanded so they can fit a 64-bit value. But 32 is still the default.
So prefer 32-bit integers, even in 64-bit mode.
Edit: "default" is probably not the right word. The CPU just supports a number of instructions, which define which data types it can process, and which it can not. There is no "default" there. However, there is generally a data size that the CPU is designed to process efficiently. And on x86, in 32 and 64-bit mode, that is 32-bit integers. 64-bit values are generally not more expensive, but they do mean longer instructions. I also believe that at least the 64-bit capable Pentium 4's were significantly slower at 64-bit ops, although on recent CPU's, that part shouldn't be an issue. (But the instruction size may still be)
Smaller than 32-bit values are somewhat more surprising. Yes, there is less data to transfer, which is good, but the CPU still grabs 32-byte at a time. Which means it has to mask out part of the value, so these become even slower.