Depends on what you mean by firewall here. If you are referring to the NAT firewall on an AirPort router, that might impose a few percentage points of bandwidth, but chances are, the wireless security will be the main drag.
Some routers from other manufacturers use SPI....Stateful Packet Inspection....which can slow things down up to 50% or more. Apple does not use this type of setting.
The WAN port on the AirPort Extreme and Time Capsule is rated at Gigabit Ethernet speeds....1,000 Mbps....so the AirPort can handle just about anything that you can give to it.
The WAN port on the AirPort Express will handle up to 100 Mbps speeds, so if your Internet connection speed is in that range or higher, you would definitely want to use a router with Gigabit Ethernet ports.
Now, if your modem also utilizes a firewall, you will have to take that into account as well.