Not true. Depends on your setup, the live rock may not replace a filter. If the bioload of your tank is relatively low, and the live rock is good quality or cured properly, then your tank can do without the Penguin filter, and with live rock along.
However, if you have a heavy feeding, high fish/livestock density, and do frequent water change to take care of nitrate problem, then you will need to have the Penguin filter to keep ammonia in check.
Tell us more about your setup, and we can answer your concern better. It is very difficult in this hobby to make any generalized comment due to the wide range of setup there are.