I don't think so.
Mostly outdoors stories are just that like fishing stories. Somehow Brown Bear carry a myth about them being invincible etc. This is based likely on fear not fact.
The data is contrary. Just a few years ago a Guide stopped one mean dude with some good underwood or Buffalo Bore ammo behind a 9mm.
Any Decent FMJ or HARD CAST bullet will penetrate. The Flat Point designs used but BB or UW are good choices that are proven to go straight during that penetration.
Bigger is always better IMHO, but a good shot always beat big bores