If you're talking about bullets like the Barnes TTSX or Hornady GMX, yes, they penetrate like crazy. Long distance, short distance, doesn't matter. They expand and penetrate as long as you're at a reasonable impact speed, somewhere around 1,800 or higher.
The Barnes in particular literally has no practical upper limit. I contacted them asking about shooting them at very high speeds and was told they they test them "well over 4,000fps".
The worst thing that might happen is that if you hit very heavy bone at very high speed the bullet may shed a petal or two but the main body and remaining petals will continue on.
My uncle shot an average sized NY 8-pt buck from perhaps 40 yards with an 80gr TTSX from a .243, MV around 3.450 fps. The bullet hit the right rear hip, shattered the hip and continued on through the liver and diaphragm and left lung, stopping near the left front shoulder.