Yes. Figure this: TV signal has a brightness component ("Luma") bandwidth of roughly 5 MHz, which allows for about 360 pixels across, given the 15.7 kHz horizontal scan rate. Color resolution ("Chroma") is even less. NTSC has 480 display lines, PAL has 576. Now if you look up close on a good sharp computer monitor, that'll look bad - because it is. If you're scaling that up to fullscreen on a monitor made for 130 to 170 MHz bandwidth signals, then that'll reveal every bit of low resolution, low bandwidth and low detail contrast. This is all inherent to how the TV signal provides the picture.
Video scalers can either upscale Lego style and look blocky in favor of preserving pixel-to-pixel sharp edges, or interpolate to make things look smooth - at the expense of blurring fine detail. Now since there cannot technically be any fine detail in a TV transmission, video scalers usually go for interpolated and smooth.
So why does it look better on a TV set? It doesn't. You just don't notice because their tubes are drastically lower resolution, and because you're sitting much further away from it.
