Not always true. I used to have a registered bolt UZI that had double feeds constantly The problem turned out to be in the mag catch and a poorly made bolt. I fixed them and didn't have any problems after...
There are more than one type of double feed. The typical double feed in a pistol or rifle is one that fails to eject then a live round being fed into its end usually due to failure to extract. There are others as Andy described where two live rounds are fed at the same time. This is not always due to a faulty magazine but it can be and the mag often is invloved.
In tubular magazines on pump guns it is sometimes caused by the shooter not properly seating the last round, or a dirty gun certainly not the fault of the magazine but of the shooter). I have seen it many times with people shooting pump action shotguns.
I have also seen 223 mags feed more than one round, not necessarily due to a faulty mag but because of the shooter slapping the bottom of the mag after loading it and misaligning the shells - so when it cycles two rounds come out of the mag. Again while this is a problem that is in the mag it is definitely shooter induced.
Of course if a mag's lips are out of alignment it could feasibly allow more tha one round to be stripped each time the bolts opens.
Another cause can be improper ammo. We had a guy at the range inadertantly load his 40 cal mags with 9mm ammo. The ammo cycled and fired the first time, then double fed. He was lucky he didn't blow up his gun and his face.
Boy you sure are a friggin jerk aren't you! When someone loads a 12 gauge with a 20 gauge slug and follows it with a 12 gauge slug, is it a pressure problem that blows up the gun. Certainly the 20 gauge round did not cause any pressure in the barrell did it?
Now here is a situation pertinent to the case of the 9 and the 40. You fire a friggin 9mm round in a gun chambered for 40 caliber. The shell casing expandes so much in the larger chamber as to crack and a piece is left in the chamber. The next round chambers and pushes the bit of brass into the barrel. The gun fires the second round, the brass and bullet get stuck in the barrel and the barrel blows up in your face because you were fool hearty enough to do something like this on a repeated basis. There is a distinct possibility that this could happen no matter how high the odds are against it.
Thing is you should only ever fire ammunition in the gun of the caliber for which it was manufactured. There is a chance something as odd as either of these could happen. For you not realize the potential for either problem, no matter how slim, shows your ignorance of real life situations that have occured when chambering improper ammo in the past.