v2.0 has a lower memory footprint for entity data than v1.0.200x.y so 20,000 entities should take less memory than before but still you can run into some overhead which consumes more memory than if you for example put the data in a datatable.
You could try to see how much memory it consumes in a console app, where you pause right before the fetch occurs, then check what the memory footprint is, then fetch the data and check again. It's not scientific measurement, but it gives you an idea.
It also depends on what you want to do with the data: is the data not required to be in entities or is that required?