Not true. M4/3 is shallower (by half) at the same distance to subject as FF for the same distance from the subject, focal length and aperture.:
5D Mark III / Circle of confusion = 0.03
Distance to subject: 15'
50mm f/2 lens
DOF = 3.34'
Olympus E-M5 / Circle of confusion = 0.015 / Crop factor = 2
Distance to subject: 15'
50mm f/2 lens
DOF = 1.66
"When you put photographs from two cameras next to each other to compare them, you are typically
looking at these images at the same size. However, the image sensors that generated these two images may be very different in size. For example: the iPhone has a sensor that is less that one seventh the size of a 35mm full-frame DSLR in each of its dimensions. This means that the physical image that was projected onto the image plane of the iPhone was magnified by a factor more than seven times more than the DSLR’s image so that it could be displayed at the same size in the side-by-side comparison in this post.
This magnification magnifies everything – also imperfections and blurring in the projected image.
This means that, at the same distance from your subject, at the same physical focal length and aperture setting, a camera with a smaller sensor will have shallower depth of field than the one with a larger sensor. The images will have the same perspective, but different fields of view (framing), so it is a bit of an apples and oranges comparison. However, the result is real, and goes contrary to common knowledge and what one might have expected!"
https://photographylife.com/sensor-size-perspective-and-depth-of-field
They are, however, the same DOF with the same framing when one doubles the distance of the M4/3 camera to the subject. To get the same DOF and framing as FF, I would have to move out to 30' with the M4/3 camera.
The math does not lie.