Not true. There are increasingly more cases where Windows software, written with Windows in mind and only tested on Windows, performs better atop Wine.
Sure, there are interface incompatibilities that naturally create performance penalties, but a lot of stuff maps 1:1, and Windows was historically designed to support multiple user-space ABIs; Win32 calls are broken down into native kernel calls by kernel32, advapi32, etc., for example, similar to how libc works on Unix-like operating systems.