If...
you have the ability to write your own SQL in Cognos,
and you have good SQL skills,
and you know your database, how it is indexed and partitioned,
and all of the data is available through a single data source connection,
...it is likely that one query that returns exactly what you need will perform faster than having Cognos perform joins and do other work.
But...
It also depends on the requirements for the report. If you need to use Cognos features like nested objects with master-detail relationships...
Check your requirements. There is no definitive answer to your question.