Wrong wrong wrong.
A bullet leaves a hole and nothing more, however its speed usually leaves a bigger hole than its expanded diameter, sometimes called cavitation or temporary wound cavity. Generally the higher the velocity the bigger the temorary or stretch cavity.
Heres a darn good read if you have time. I will copy just one important piece. and heres the link


http://www.rathcoombe.net/sci-tech/ballistics/myths.html


There is a myth to the effect that a bullet which remains inside a target is more effective (in terms of stopping or killing power) than one which completely penetrates. This myth is not new. Colonel Townsend Whelen writes in his very illuminating treatise, Small Arms Design and Ballistics, that "the thought at that time was that the ideal bullet should just shoot through the animal to its opposite side, and lodge under the skin without penetrating clear through, thus expending all its energy on the beast" (p. 137). The time he is describing is the latter half of the 19th century when the weapons were rifles "of .45 caliber, shooting a bullet of 350 to 550 grains and with a charge of black powder sufficient to give it a muzzle velocity of from 1300 to 1500 fps" (p. 136). Even in these early days of ballistics inquiry the significance of kinetic energy was being examined.

Unfortunately the conclusion reached by some is arrant nonsense. It is interesting that the 19th century model of "energy dump" required the bullet to completely pass through the body, but stop under the skin on the off-side; combining the features of an "energy dump" with lethal penetration and cavitation.

There are at least two contemporary variations on the "energy dump" premise. The principal argument seems to center on the concept of "overpenetration", which is essentially the same thought as expressed in the 19th century but with the added evidence of actual results from gunfights on the street (the chief culprit being the rather pointed 9 mm FMJ bullet). Bullets which "overpenetrate" do not stop opponents as readily as those that remain in the body. Therefore, if the energy isn't "wasted" on exit, the bullet is more effective. Right?

Not exactly. A bullet of a given construction and impact velocity will create a cavity of predictable dimensions over its path, whether it stops or penetrates completely. Therefore, if the hole created can penetrate all the way through, it causes more damage than if it stops at some point. The critical issue here is what sort of hole are we making, not whether it goes all the way through. "Overpenetration" is a misnomer. The ineffective stopping attributed to overpenetration is actually caused by "undercavitation".