This is not intrinsically true. Cooling and power delivery certain have it beat, but it seems feasible to beat based on memory bandwidth. I bet a GPU uses roughly the same order of power/cooling that say half a threadripper does?
No, how do you beat the wide bus memory bandwidth of a discrete GPU with the standard dram bandwidth? Even if your processor was not competing with the GPU for bandwidth you'd still have a small fraction of the memory bandwidth available.