That's a myth, though good advice for the "I don't get high" crowd. If the smoke enters your lungs the vast majority of thc gets absorbed instantly. At most, a second is all that's needed.
The problem is for the people who don't fully inhale, and the smoke never reaches their lungs. Telling them to "hold it in" usually gets them to take a deeper breath. It's not needed if you actually fully inhale.