Why does the pulmonary artery have higher glucose concentration than the pulmonary vein? If the pulmonary artery have higher glucose concentration than the pulmonary vein, does it mean glucose will be consumed during gas exchange? That confused me because gas exchange is something like diffusion and shouldn't consume any glucose

Gas exchange doesn't but the cells of the tissue it occurs in do consume glucose, even the cells in the walls of the artery will consume some. The cells in the lungs still need to be fed and only one of those two vessels has flow going into the tissue so it is the one that has to carry that glucose into the tissue.