At least in my experience so far they don't.
We built a 2'X2' 1/2" thick steel swinging plate target awhile ago. It works great with pistols (I was hitting it 13 out of 17 shots from 75 yards with my Glock 27 sub-compact). My next door neighbor came over to try out his new AR build at my range a week or so ago (see this thread http://www.firearmstalk.com/forums/f66/deputies-showed-up-59960/
) and we shot the steel target for a few rounds before inspecting it (I was using Hornady 55 gr FMJ's in reloads, my buddy was using Tula factory loads in 7.62x39- yeah, I know, AK rounds in an AR is just wrong, but its his gun...)
All of the rounds penetrated about half way through the steel plate leaving a huge crater
. We stopped using it as a target immediately. Today we finally got around to hauling it up to the shop and my 14 year-old son welded the craters up with the MIG welder and ground them flat to repair it. Took some before and after pics of it (on the welding bench).