I'm afraid I don't remember the numbers anymore (if there even were numbers attached to the general statement), but I think it was at John Gruber's live Talkshow at WWDC that Craig Federighi pointed out that while Thunderbolt was an external version of PCIe, it has noticeably larger latency than internal PCIe (in the same discussion, he also explained that OS X/macOS so far never had been designed to deal well with a disappearing graphic card (which is an issue since TB in itself supports hotplugging), which is part of the reason why external graphic cards using TB had their issues until now).
Since Apple is now offering a box with an external graphic card to developers, macOS has obviously gained safeguards and support for it. I think in this discussion Federighi also mentioned that TB3 has noticeably improved latency. Regardless, TB still had lower latency than USB even before TB3.