This is not true.
And if you doubt this, go ahead and set off a round by hand, in your hand.
(I have a friend who's fingers are permanently messed up from having done this as a kid - don't try it!)
Also, although the bullet will definitely have much lower energy (having not been contained within a chamber/barrel), it is not zero energy.
The cartridge case can travel a considerable distance with a still respectable amount of force. (The bullet, having more mass, will usually stay put).
Neither one would likely have enough energy to break your skin at close range (a few feet, maybe), but you can still poke an eye out.
If you plan to disassemble the round, use tools that do not spark.