It's not really a drywall problem, but a drawback of the usual construction method. If you insulate the interior walls then noise isn't really a problem. Of course, most builders are not insulating or noise-proofing interior walls, so there you have it. I suppose with other building materials (bricks, concrete blocks) you get the solution "for free", so to speak.
My house is plastered, and it is substantially more soundproofed than drywalled houses in the neighborhood. It is not a function of the construction method, since my house is stick framed just like my neighbors.
It's a problem because with stick frame and drywall, the builder has to take special effort to noise-isolate a house, which in effects ensures that not even 0.1% of housing has those properties. European regulations make for a much higher noise isolation by default.