They aren't that much slower. In a game its the difference of a few fps that you'd never notice unless the fps counter was displayed on screen. But you lose more speed trying to multitask on a single cpu system than you do from the overhead of a second physical processor.
I once heard a perfect analogy for this relationship.
A single processor is a sports car like a corvette. It can go real fast, but put it under a load and it slows down real fast.
A dual or higher is like a truck, slower but has a lot of torque. It can pull a lot of weight before it slows down, but lacks the high top speed. However the speed it lacks isn't significant. It catches up to the sports car on a hill because it can better maintain its speed from all the torque.