Not always true.
In fact, many times in stories, the protagonist is friends with, related to or even married to the antagonist. The antagonist is just the character making things difficult for the protagonist. These characters stand in the way of the protagonist reaching his/her goal.
In A Simple Plan by Scott Smith, protagonist Hank finds over four millions dollars on a plane. The big problem is his older brother Jacob and Jacob's friend Lou find it with him. Now while there is no real villain in this book, there are definitely antagonists. Several are minor characters who appear for the sole purpose of getting in the way of Hank keeping the money or more importantly keeping all the secrets he must keep under wraps once things start to go crazy. But the true antagonists are Jacob and Lou.
While Jacob is Hank's brother, he is more a brother to Lou. They drink and hunt and hang out a lot together since they are both habitually unemployed while Hank has a full-time job, a wife and a baby on the way. When they find the money, Lou thinks they should keep every penny and celebrate the find as does Jacob. However Hank thinks they should turn it right over. Of course, Hank agrees to keep it but he wants to be smart about it. So they all decide that Hank will keep the money until the spring and then they will split the money and all leave town.
However, it just can't be that easy.
Lou continually antagonizes Hank by trying to get the money earlier than intended. Jacob is torn between his brother and his friend often going back and forth. These two men get in Hank's way of ruining everything by acting foolish and threatening to get them all caught. They are getting in the way of what Hank- the protagonist- wants. Therefore they are the antagonists, but certainly not villains. The real villain of this book is greed.
Sometimes the antagonist is not a friend, but not the villain either.
In John Connolly's The Unquiet, Charlie Parker seeks to find out just what happened to missing psychiatrist Daniel Clay. He discovers a much deeper, darker secret but he also had to deal with a man named Merrick.
Merrick the avenger.
Merrick is on the hunt like Parker, but he looks to do one thing to wrong doers- kill. Parker meets him early on and they have more interactions none of which are friendly. They are very different, but you can clearly see that Merrick is not all bad, either. Especially considering the people he is after. So in this case, the antagonist is not what you'd call a hero by any means, but he is definitely not the villain either.
In my novel Jack Little, Will Hodge loses his jewelry store and family business to a con man but also to tough economic times. His goal at first is to keep the store running when the con man shows up and takes that dream away- a dream he was losing anyway. So this con man would be an antagonist who actually wins- until Will finds him dead with all the jewelry he took.
Will takes all the jewelry but does not re-open his store. Instead he sells the merchandise at flea markets. And then he starts to take other things from strangers and even friends. So every person he takes from is an antagonist since they would definitely go against his new goal of stealing. Yet they are all innocent and many are strangers. So in this case, they are not villains nor have any close connection to Will. Yet they do pose a threat.
So when you read the word antagonist, do not always assume that is the villain. Often times, it's more likely to be a friend.