That's not true. A sling has quite an amount of penetrative power; it's one of the reasons it was used. The Romans hired Balaerics because of the ability of their sling bullets to punch holes in armor. It's a matter of the quality of the bullet one uses; experienced slingers used smoother bullets that would spiral and cut through armor rather easily.
As an aside, slings were rarely used against Celts, but Celts used them all the time, including against armored enemies, and with success. During the Galatian migration, slings were used against the royal army of Macedonia when it was destroyed, and numerous remains of helmets show clear, clean holes where bullets passed through. Slings were still in use during the dark ages in Britain and Ireland, but fell out of use in favor of bows as they were easier to train with and required less experience to be truly skilled at. Getting really good with a sling takes more experience than with a bow. Additionally, with the advent of longbows and crossbows, the range was outdone, and penetration could be achieved.
However, against plate armor, a sling would be relatively ineffective, but that's due to the curvuture of the armor, not a lack of penetrative power.
