I would be somewhat surprised if there were a significant (i.e.: really noticeable in a realistic web environment) performance difference. If the database was only being used for session data and therefore there would be no connection overhead without it, then perhaps there would be a difference worth considering.
Ultimately, I think the main advantage of a database-based session store would be the security aspect (data in a more controlled location harder for nosy people to look at, especially on a shared host). Also, if session data is intended to persist for a significant time, your database backup mechanism would take care of backing up that data, as well.