It's definitely not all VPNs (typically the ones you pay for will buy their own hardware and internet connections in the places you can route your traffic through), but it is a common situation for the shadier (especially 'free') ones, and in that case it's usually not just a peer-to-peer thing, they make money by selling your connection to people who pay because they want a large pool of relatively reputable and disconnected IPs to send traffic through.