There were studies done that showed where the optimum "fat-burning" level was for steady-state rides versus intense, interval-type rides. Now, you still burn glycogen during both rides, we're just talkin' the optimal percentage of energy coming from fat consumption versus blood glucose or muscle glycogen.
Also, during interval-type rides/high-speed, you also burn fat, just you burn less percentage wise and more blood glucose/glycogen. Tom, I'm sure, can fill you in, but I think the number we're looking at was around 65-70% HRmax, or some-such. But, this does not shy me away from doing intervals/high speed workouts and neither should it you.