That's not true, either.
Terminal velocity is just too slow.
A 9mm bullet weighs about 0.03kg, and travels at 900 meters per second. It has a momentum of 27 kg m/s, which is quite a bit.
That's about triple the weight of a penny, which I will say weighs about 0.01kg, meaning it would need to be traveling at 2700m/s to have the same momentum. Which is 6000 miles an hour.
Even if you half that, that's 3000mph.
The Empire State is 381 meters tall, so if the penny is dropped from the top, accelerating at 9.8m/s, when it hits the ground, it will be traveling about 84 meters per second (190mph).
Which leaves it about 16 times too slow to do half the damage of a bullet, before we even look at wind resistance...