C#'s `yield return` is creating a lot of garbage for me. Can it be helped?

I'm developing an Xbox 360 game with XNA. I'd really like to use C#'s yield return construct in a couple of places, but it seems to create a lot of garbage. Have a look at this code:

class ComponentPool<T> where T : DrawableGameComponent
    {
    List<T> preallocatedComponents;

    public IEnumerable<T> Components
        {
        get
            {
            foreach (T component in this.preallocatedComponents)
                {
                // Enabled often changes during iteration over Components
                // for example, it's not uncommon for bullet components to get
                // disabled during collision testing
                // sorry I didn't make that clear originally
                if (component.Enabled)
                    {
                    yield return component;
                    }
                }
            }
        }
    ...

I use these component pools everywhere - for bullets, enemies, explosions; anything numerous and transient. I often need to loop over their contents, and I'm only ever interested in components that are active (i.e., Enabled == true), hence the behavior of the Components property.

Currently, I'm seeing as much as ~800K per second of additional garbage when using this technique. Is this avoidable? Is there another way to use yield return?

Edit: I found this question about the broader issue of how to iterate over a resource pool without creating garbage. A lot of commenters were dismissive, apparently not understanding the limitations of the Compact Framework, but this commenter was more sympathetic and suggested creating an iterator pool.