No, they contain exactly the same code that a theme would contain if it had such feature built-in. The delay caused by including a couple of additional PHP files is statistically insignificant.
The impression that plugins slow down the website may be caused by the fact that many plugins (more than 9 out of 10) come with not optimal code, too many additional JS and CSS files and many additional database calls.
You should avoid plugins with bad ratings or low number of users to avoid issues. Correctly prepared plugins won't slow down your website beyond what is absolutely necessary.