No, not neccessarily. Some Li primaries have an initial voltage of 1.8v. If you have 4 of these in series in a device, it will driven by 7.2v initially, vs 6.0v from alkaline cells with initial 1.5V, or as low as 4.8V from depleted NiMHs at 1.2V.

Some devices will be damaged by operating at 7.2V instead of the intended 6.0V. I burned out a Petzl headlamp with Li primaries. I was aware of the situation but didn't worry because it was an old headlamp anyway, pretty dim compared to current headlamps. It did not die right away, but rather took 10s of hours, and it didn't completely die, but it burns very dim now on any cells.

As mechBgon stated, Li primaries do have a flatter discharge and work in cold weather when alkalines and NiMHs may not. Also, Li primaries are significantly lighter in weight (14g vs 22g in the AA size). They are ideal for lightweight backpacking purposes, provided the device has an adequate voltage range to use them without damage. Many newer devices have now evolved to accept Li primaries, so the device makers are catching up with the cell makers.