In fact higher frequencies have worse penetration capabilities. If you consider a purely theoretical model, the so-called skin depth, which gives the thickness of the layer of a conductor to which an electromagnetic wave of a given frequency is able to penetrate it, you will see that the skin depth is inversely proportional with the square root of the frequency:
\$ \delta = \sqrt{\frac{2\rho}{\omega\mu}}\$
(\$\rho\$ is the resistivity, \$\mu\$ the magnetic permeability of the material).
This has also as a consequence that AC currents do not use the whole cross-section of a wire (and a properly designed hollow one would do the same job) and that's (partly) why a smaller antenna will do for proper transmission.
But in reality things are much more complicated than that. Wireless HD video is serious engineering challenge (partly) because the high frequency signals necessary to provide the appropriate bandwidth tend to bounce off the walls. At really high frequencies (i.e. ~60 GHz) necessary for such applications other absorption/reflection phenomena can compromise transmission: e.g. absorption by oxygen (in the air). This depends very much on the medium through which your wave needs to go through.
So, the short answer is no, higher frequencies aren't able to go better through walls than low frequencies.