That statement is almost completely false (in the UK at least). Nearly all of Intel boxed processors come with an Intel heatsink/fan. There are some models that don't, but these tend to be the K models or high end models, but the vast majority of their boxed CPU's do come with them.
Now if you'd said Intel don't make their own motherboards anymore, I would have agreed, but even that is not entirely true, they do still make their own server boards I believe.