I don't think that's always true. Check out the muzzle velocity of 45s and then other calibers.
Muzzle velocity 45s
* 14.7 g (230 gr) Full Metal Jacket: 260 m/s (860 ft/s)
* 11.9 g (185 gr) CCI/Speer Gold Dot JHP (from 5in (127 mm) barrel): 317 m/s (1041 ft/s)
* 14.7 g (230 gr) Federal Hi-Shok JHP (from 5 in (127 mm) barrel): 260 m/s (860 ft/s)
+ P loads
* 11.9 g (185 gr) JHP: 350 m/s (1150 ft/s)
* 14.7 g (230 gr) JHP: 290 m/s (950 ft/s)
----------------------------------------
38 Special +P loading fires a 125-grain bullet at 945 ft/s for a muzzle energy of 248 ft·lbf.
A standard-pressure .38 Special only makes 850 ft/s for 201 ft·lbf of muzzle energy.
A 9 mm Luger, by comparison, will fire a 124-grain bullet at 1140 ft/s for 358 ft·lbf of energy, and a .380 ACP will fire a 95-grain bullet at 955 ft/s for 192 ft·lbf of energy.
The .357 Magnum will fire a 125-grain bullet at 1,450 ft/s for a muzzle energy of 583 ft·lbf, or packing nearly three times as much energy as the same bullet in a .38 Special.