I also experienced this drop in frame-rate. I'm using a Desire HD and had the same drop as asktomsk.
I've narrowed it down to the colour modifier for particles:
particleSystem.addParticleModifier(new ColorModifier<Sprite>(0.3f, 0.4f, 0.3f, 0.2f, 0.0f, 1.0f, 0.0f, 5.5f));
The simple initialiser seems OK:
particleSystem.addParticleInitializer(new ColorInitializer<Sprite>(0.7f, 0.0f, 1.0f));
Thanks for pointing me towards the particle system!
Oh looks like this problem is fixed in the latest version of AndEngine, where "ColorModifier" is now "ColorParticleModifier". Watch out the constructors for the modifiers have had the variables move around, now the time float numbers go first!
Latest version of AndEngine doesn't seem to be faster...