It depends on your definitions of "a lot" is. It can scale pretty high by default, but when you're doing hundreds of millions of objects in a short window, you can actually measure pauses in the app domain while GC runs. These have a pretty decent impact on requests that hit up against that block.
The vast majority of programmers need not worry about this, but if you're putting millions of objects through a single app domain in a short time, then it's a concern you should be aware of. This applies to pretty much any managed language.