Others already said so, but...
False!
The window leading into what seems like hot molten death next to the teleport-elf that sends you to Molten Core actually works as a portal to Molten Core.
Fun fact: He alludes to this by talking about rifts in the world ("see the window next to me?") and attuning yourself to these rifts. This is why it's called 'attunement' in the first place, you are
attuned to travel a rift to move from one place to the other instantly.
Fun fact 2: The "zone in" location by elf-teleport is actually slightly different from the location by window-jumping. One will make you face the entrance portal. The other makes you face the first trash pack.
Fun fact 3: The elf didn't always offer a teleport gossip option and the window-jump used to be the only quick method of entering Molten Core, back in the day. When people died en masse from lagging and spending a few seconds too long into lvl60-killer lava, Blizzard responded by introducing the elfportation option.
Fun fact 4: Emus. God damn they're hilarious.