I've never sold a website as a domainer, and I don't have any numbers at all to say for sure either way, but I'm pretty sure that isn't true given the sheer numbers of domains that sell undeveloped without a website.
That being said .. that isn't even the proper question .. the real question you need to ask when trying to figure out whether it's worth developing a random domain or not is:
Q: Do developed domains sell at a higher rate than undeveloped domains?
The answer to that question is probably a lot closer. But ultimately there is no comparison, as for a developed website it depends mostly on the value of the content. Sure it might sometimes be easier to sell because you developed it .. but developing a website is significantly more time-consuming and expensive than acquiring a domain.
More importantly, depending on how you developed the website, it's possible a potential buyer was interested in the domain for a very different topic, and the fact you developed it out on a different topic might scare him or her away because they think there could be confusion between the two topics.
Ultimately though, if someone truly wants a domain, they'll buy the domain whether developed or not. Generally price is pretty much the only factor unless you've build out the domain exactly the way the buyer wanted it (a possibility .. but very small).
How many domain do you have? If you only have 10 domains, and they are of the typical 1% sell-through rate, then in theory you should only sell one domain every 10 years, so it's possible you actually aren't doing anything wrong.
Or .. maybe your domains simply are not good enough. Nobody can say that for sure without seeing most of your portfolio and how you've priced your domains .. BUT .. the unfortunate fact is that 95+% of the time when a newcomer has never sold a domain, the simple truth is because usually their domains just aren't good, and nobody would ever use them.
Best of luck with your domains either way!