It's not a myth, it's a fact.
A meta-analysis of 10 studies exploring the risk of transmission through vaginal sex was published in 2009.4 It is estimated the risk of HIV transmission through receptive vaginal sex (receiving the penis in the vagina) to be 0.08% (equivalent to 1 transmission per 1,250 exposures).
A meta-analysis of three studies exploring the risk from insertive vaginal sex (inserting the penis into the vagina) was estimated to be 0.04% (equivalent to 1 transmission per 2,500 exposures).
Read more about risks of HIV/AIDS exposure, including the challenges in calculating, types of sex with varying percentages, and interpreting the numbers.
stanfordhealthcare.org
Having sex with a high risk woman - for instance a prostitute who may have other STDs - increases the risk of penis-in-vagina sex. But the overall, normative risk is very low. Especially when compared to penis-in-anus sex.
The fact that HIV rates for circumcision are so high in sub-Saharan Africa tells us everything we need to know IMO. Poor health and medical practices, contact/exposure to blood, etc. And let's be reality on the sex front: there is risky sexual behavior there with respect to men who have sex with women and other men. Same thing happens in the US and drives HIV rates, we just have lower levels. Wherever you go, when you look at sexual HIV/AIDS rates it boils down to men giving it to women. I'm not saying you "can't" possibly get it from women. It's a 2-3 times higher risk for anal sex....