Unless you are clever. For instance, you can choose to fire your engine only at high speed and deep in a gravity well. If your orbital speed is the same as the engine’s exhaust velocity, then those gases end up with almost no kinetic or potential energy, and the engine has almost perfect efficiency.
That’s the reason behind the Oberth effect. In fact you can do “better than perfect” because there’s no limit to how much kinetic energy you can extract from a given amount of delta-V. This energy is stolen from the body you swing past, of course.