Entity Framework focuses mostly on developer productivity - easy to use, easy to get things done.
EF does add some abstraction layers on top of "raw" ADO.NET. It's not designed for large-scale, bulk operations, and it will be slower than "raw" ADO.NET.
Using a SqlDataReader
will be faster - but it's also a lot more (developer's) work, too.
Pick whichever is more important to you - getting things done quickly and easily (as a developer), or getting top speed by doing it "the hard way".
There's really no good "one single answer" to this "question" ... pick the right tool / the right approach for the job at hand and use it.