Not strictly true; imagine that they can query the load state of a dyno, but at some non-zero cost. (For example, that it requires contacting the dyno, because the load-balancer itself is distributed and doesn't have a global view.)
Then, contacting 2, and picking the better of the 2, remains a possible win compared to contacting more/all.
See for example the 'hedged request' strategy, referenced in a sibling thread by nostradaemons from a Jeff Dean Google paper, where 2 redundant requests are issued and the slower-to-respond is discarded (or even actively cancelled, in the 'tiered request' variant).
That'd be probably significantly better than the case of (request i => dyno picked out of hat) for all i