As you note, it's only true when you assume free space. In practice, you have air, you have obstacles, you have earth curvature, you have […], which makes it wrong, because athmosphere has an opacity that varies with the frequency (or wavelength): https://en.wikipedia.org/wiki/File:Atmospheric_electromagnet...

So, no, it's not an universal rule.

Please also note that shorter range is not necessarily bad: it means less interference from neighboring devices that use the same frequency band ( https://www.embedded.com/why-60ghz-mmwave-is-moving-into-the... ).