I’ve heard that a lot. But would any other acid work as well, say vinegar, or even Hi-C?
I watched an episode of MythBusters a couple weeks ago that tried this out. Their conclusion was that it did work somewhat, most likely due to its slightly acidic composition.
Whether vinegar or Hi-C would work was not addressed. Perhaps you could pack a bag and head to the junkyard (or your neighbor’s driveway) and perform an experiment for the benefit of the teeming millions? 
Snopes’ Cokelore section has answers to many common questions on the subject. The acids article covers this one in particular.
Whoops, I forgot to include the relevant quote.
I saw that Mythbusters show too
Save your money and drink the coke
I discovered (accidentally) that coke appears to clean the grout in our tile floor. Or at least lightens it up a bit.
Try hot sauce. I know that Valentina specifically works, and I imagine others may work, too. My wife just showed me this trick by polishing a copper crab ashtray with the hot sauce. She save me $3 and the time it would have cost me to run out and buy Brasso.
Yes it works, I have used it to get rust spots off a chrome bumper*. It’s the phosphoric acid. And I think there’s probably something dubious about the science in the Cokelaw link. It’s not all about the concentration, there is more to acids than that (can a chemist help us out please?) Some acids are intrinsically more powerful than others.
*the rust was in the steel under the chrome. Just to pre-empt the nit-pickers.