This is not true, no. From the calories point of view, all types of oil have the same value and there’s no oil that’s more or less caloric than another one. Oils are totally made from lipids and therefore they all provide the same amount of calories, that is 9 kcal per 1 gram of oil. In addition, vegetable oils are extracted from seeds, nuts, legumes, and sometimes from certain fruits. They are all composed (but in varying proportions) of saturated fatty acids, monounsaturated fatty acids and polyunsaturated fatty acids and they are classified according to their predominant fatty acids.
Also, vegetable oils contain antioxidants, in quantities that vary depending of the type of oil. And the more unsaturated an oil is, the more it is rich in antioxidants. We must not forget as well that cooking at high heat depletes the nutritional qualities of oil. As such, when an oil becomes smoky for example during cooking, this means that it has become toxic and it should be thrown away.
Finally, and as part of a balanced food plan, we should not consume oils excessively and we should not set them completely aside neither. Instead, we must diversify their sources and use them properly and in moderation.