For applications that need to ensure the lowest sleep current, inputs should never be left floating. Use internalor external pull-up or pull-down resistors, or set the unused I/O lines to outputs.
I'm pretty sure it is the LED as they are lit even on sleep modes to indicate that they are still powered.
Do you have a way to operate Xbee with an Arduino which is at 5V?
I'm thinking of using resistors to make a level converter, will it work?