Yes, this is true. Hardware wallets are safer than all central exchanges that are vulnerable to hacking, bankruptcy, and others.
Using a hardware wallet is arguably more secure when you're in control of your own assets, but I don't think exchanges are any easier to hack. When it comes to security, I believe exchanges will do better than us. What I fear when leaving money on exchanges is that we do not fully control our assets, they can go bankrupt, and freeze our accounts at any time.
In general, no method is absolutely safe, everything is risky, but I prefer to manage my own assets rather than letting someone else manage.