That's not always the case. Depends on where a head gasket leak is and how far it has or will progress. I replaced the head gaskets on my 94 Sable's 3.8L due to exhaust breaching the gasket (tested for exhaust in the coolant and it was present). When I pulled the heads, only one cylinder had the gasket starting to fail. The way that it was failing (gasket being squeezed into the cylinder) was a partial failure causing only a cylinder to coolant failure.