Not necessarily. It will depend on the brand.
However, I think mattes might appear to be more pigmented because there is no shimmer to take away from the color - it's just straight color, no shine.
I guess it depends on what look you're going for. Shimmers can really brighten your look and I like them because they make my face look more glow-y. Mattes can have that higher pigmentation though because the color is more concentrated. I like to layer as well though. You can get a really great look by layering a shimmer over a matte. Everything comes through stronger or you can use it to get a totally different color.
Matte is a flat color no glitter or shimmer at all. For someone like me (44) shimmer and glitter is not the way to go. I prefer matte eye shadows and blush which is sometimes hard to find. I recently purchased Laura Gellers shimmer down which transforms any glitter/shimmer in a product to a matte finish. I don't believe there is any difference in the depth of color between a shimmer and matte product. The only difference is the look. I suggest you always use a primer first, this ensures that the color is true and does not wear off.