The problem that I see with Active Records is, that it's always just about one table. That's okay, as long as you really work with just that one table, but when you work with data in most cases you'll have some kind of join somewhere.
Yes, join usually is worse than no join at all when it comes to performance, but join usually is better than "fake" join by first reading the whole table A and then using the gained information to read and filter table B.