Not true on the whole. The vast majority are only heat treated and are perfectly burnable. There is a stamp on every pallet that tells you but in my experience you rarely find anything other than HT (heat treated). Having said that, there is a lot of air in a pallet and not much wood plus they burn fast and hot. Great for kindling but hard work for the amount of wood you get out of them for any other purpose.
Added link:
Markings on a pallet: What do they mean? An Extended Guide
QUICARGO.COM
Read our guide to learn the pallet markings, treatment codes, and authorities for pallets, as well as how to identify them for your business.