They like to pretend that's true, but it is for sure not, at least not unless your job is so simple it could literally be a shell script or a Makefile as others have said

Any use of rules, cache, includes, or ... you know, real life ... gitlab-ci constructs makes `gitlab-runner exec my-job` do absolutely nothing helpful. The circleci binary did as advertised on the tin and has been my favorite "debug ci builds locally" experience