Indeed. I have a Soekris router with a gigabit card, but the best it can do is around 400Mbps. Packet filtering and NAT require some computation, and 1Gbps is a lot of data.
Then again, I can actually use Bittorrent without having to reboot the router :)
Actually there are many single-chip, 4x Gigabit ethernet solutions on the market. These do wire-speed gbit "in hardware" as it were.