Hmm, Teflon reduces friction, so let me put it on something I want to stay tight...
Teflon tape does fill up the gaps in threads, which is it's primary function for sealing pipe threads. And sometimes the extra stuff in there makes something feel tighter. I use it on the whammy bar of my Strat so that it says put. Lasts for a little while and you have to stuff the gap with fresh tape.
Keeping fasteners tight is a function of the friction on the threads and bearing surfaces that is created by the clamp load (tensile load on the fastener). If you try to tune drums really low, i.e. very low clamp loads on the rod, they are going to detune fairly easily. Tighter pitches and correspondingly higher tensile loads will limit the fastener from loosening (although the head may stretch more resulting in going out of tune).
A slightly resilient element in the clamping (e.g. nylon washers) has the effect of increasing the effective clamping tension and limiting the tendency of the fasteners to come loose. They also conform a bit and increase the bearing surfaces under clamp load, thus increasing the friction. Often this is enough to overcome the reduction in friction that nylon has over metal to metal bearing loads.
There are nylon insert screws/tuning rods out there that lock into place pretty well and allow for adjustment. There are also serrated bits that create a sort of ratchet or detent to keep the hardware in place. If you are trying to maintain very low tunings and having problems, these may be the answer.
Replacing the Teflon tap on the one screw of my whammy bar isn't that much of an issue. Replacing it on every tension rod on a drum kit would be a project.