With smaller calibers it can, with a 45, personally I don't worry about it as much myself. I do prefer that a round does expand as it is designed to do and dump as much energy as possible into a zombie. But a 200+ grain round out of a 45acp, at self defense ranges will do damage, winter clothes or not.
Carried the 45acp for many years on active duty. While we were limited in the use of ammo types, I never once felt under gunned with FMJs in the ol war horse. Not so with the 9mm.
I feel much better now...thanks