Yes, the stones themselves will drain any water that gets there just fine. The myth part comes in when this is done to improve the drainage in the soil above the rocks. Water does not flow from the less coarse soil to the more coarse rocks as easy as intuition might imply. Think capillary action sucking water UP into the soil against gravity. The water tends to prefer to spread out in the soil. Until the medium is saturated, it will continue to spread out and stay in the soil, so putting rocks underneath does not improve that. It allows you to use less soil to fill the pot up, and might help with keeping medium from leaking out the drain holes in the bottom. But it does little more than that.
Most of the places I've read are different gardening sites around the 'Net and I don't want to link offsite since it could get me tossed on the naughty step. The link to pop's thread on it a couple posts back has some good info to start with, though.