Of course, it is true that if you use an Arduino as a web client using for example the HTTP GET method, and the web page that the URL returns contains java script, JSON formatted data that is dynamically created client side or anything else that would normally be executed client side in the browser say using the document object model, then that client side scripting would not be executed on the Arduino.
The OP was not very clear and it could just be that this is what he meant.