Actually this is not true when the library containing this code is a shared library or a Windows DLL. However even in that case usually a small piece of code is added to perform the call into the library (and in the case of Windows DLLs this small piece of code is not that small at all). Also there is surprisingly high number of compilers (especially on Windows) that don't suport shared libraries and for them this statement is true.
Moreover, the speed drain resulting from the unnecessary execution of the code occurs no matter where the code is located (actually the drain can be a little bit worse when the code comes from the shared library).