Without knowing your intentions, as I see, you try to compare things that should not be compared.
One can say, EF Code First is quite efficient (see:
http://msdn.microsoft.com/en-us/data/hh949853.aspx[
^]), but far not as efficient as writting SQL query directly. Still, if you speak about stored procedure, you are probably not simply wrapping a simple query in a stored procedure - you would add some logic. At this point you might well gain by using EF and running that logic in managed code instead of using fancy trick in t-sql. But you have to have the tier running that logic as close to the datastore as you can get (running on the same machine).
Still, if you need advanced logic and most performance, you should consider making use of the CLR integrated features, like the
CLR stored procedure[
^].
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