It absolutely becomes very inefficient, though the threshold data set size varies according to context. Most languages don't have lightweight coroutines as an alternative (but see Lua!), so the convenient alternatives have larger fixed cost. Plus cache locality means cache utilization might be helpful, or even better, as opposed to switching back-and-for every data element, though coroutine-based approaches can also use buffering strategies, which not coincidentally is how pipes work.

But, yes, naive call chaining like that is sometimes a significant performance problem in the real world. For example, in the land of JavaScript. One of the more egregious examples I've personally seen was a Bash script that used Bash arrays rather than pipelines, though in that case it had to do with the loss of concurrency, not data churn.