For game servers, yes this is a little less than ideal. There's nothing magical about WebSockets that make using them different than other similar protocols.
Most libraries implementing WebSockets are not designed for games. Threads are deemed the easiest way to implement these things by some Web programmers, driving mostly off of the unfortunate design of Java (which uses a separate thread for practically everything up until NIO was released, and that didn't take off the way one would have hoped). C# also sadly stuck by this design. Some Web programming environments also don't support multiplexing connections in a single thread due to their integration with external Web servers (the popular Apache having also been a one-thread-per-active-connection model in the past).
For a small side project I've been toying with I found the Tornado server (Python) to be the easiest to get high performance WebSockets (no threads). There are absolutely WebSocket implementations in most other languages that don't require threads, but most of them are either difficult to use, mostly unknown third-party libraries, or out-dated/buggy. If you're looking for such a library for your language of choice, you should ask on the main forums or mailing lists for that language; surely someone there would be able to give you links to usable libraries.