That hasn't been my experience. But maybe that reflects different tax or retail strategy. I live in Idaho where liquor is only sold through state-operated liquor stores. Here's some anecdotal evidence comparing receipts from recent trips with local prices.
Knob Creek bourbon:
Idaho: $36.95 for 750ml
ATL duty-free: $29.00 for 1000ml
Bonaire: Not available
NJ: 750ml $24.99
Crown Royal Black:
Idaho: $39.95 for 1000ml
ATL duty-free: unknown
Bonaire: $33.00 for 1000ml at Zhung Kong
NJ: 750ml for $27.99
Captain Morgan's Spiced Rum:
Idaho: $22.95 for 1000ml
ATL duty-free: unknown
Bonaire: $20.50 for 1000ml at Zhung Kong
NJ: 1.75L for $24.99 (That's 75% more rum than in Idaho for $2 more.)
Beer is a different animal. It's generally more expensive, is sold in smaller bottles, and isn't practical to buy it anywhere else except on the island.