I've noticed my fps are halved in fog as well, but as I've got a 7950GT, that just means going from 70 fps on the bridge to 35
I haven't really looked into it, but I believe there is separate effects file for volumetric fog. If it's in plain text, there may be some options to tone down the detail, without impacting the rest of the environmental effects.
Also, have you tried adjusting your partical detail slider in the graphics options?