It's a bit of a myth. Prepositions often come at the end of sentences, though in many cases where they do, they actually are functioning as something else:
They had an argument but have since made up.
Here, 'up' is not functioning as a preposition, but many still regard it as one.
Where do you come from?
Formally, you could move 'from' to the beginning of the sentence, or even use 'whence', but neither way provides a natural sentence.