Umm... How do I go explaining this...
The whole discussion is actually pretty funny and the statement that a larger sensor always has less DOF than a smaller sensor is sort of true but not as simple as that.
DOF is dependant on a whole lot of variables and to be able to understand how it works you'd first need to understand its definition:
Wikipedia said:
In optics, particularly as it relates to film and photography, depth of field (DOF) is the distance between the nearest and farthest objects in a scene that appear acceptably sharp in an image. Although a lens can precisely focus at only one distance at a time, the decrease in sharpness is gradual on each side of the focused distance, so that within the DOF, the unsharpness is imperceptible under normal viewing conditions.
This definition means several things.
DOF is of course dependent on the lens length, aperture and focus distance. However, it is also dependent on something like a crop and magnification.
Technically speaking, given the same lens length, aperture, focus distance and magnification a crop sensor will indeed have the same DOF as a full frame sensor.
However, this is not taking any actual image sizes into account.
Say we have a full frame sensor of 8MP and a crop frame sensor of 8MP, this will give a different magnification. The magnification of the crop sensor in this case is larger as you will be more zoomed in on an image of the same size.
This results in less DOF than on the full frame sensor! (Yes, you read correctly.)
Now to get to the reason why people say the DOF on a crop sensor is larger.
What happens if we want to take the same image on both 8MP sensors? Well, there's 2 ways to achieve this.
First you could use different lenses, a longer lens on the full frame sensor and a shorter lens on the crop frame sensor. This would result in the same field of view, but because the full frame sensor uses a longer lens its DOF will be less than the crop frame sensor with the longer lens.
The other solution is to use different subject distances by walking way back with the crop frame sensor. This would also result in the same field of view, but because the focus distance with the full frame sensor is shorter the DOF will be less than the crop frame sensor with the longer focus distance.
(Unfortunately I don't have any good ruler images to show you the exact differences. Neither do I have a full frame camera to do a good comparison with. However, I think the general idea is pretty clear now.)
What is interesting by the way is that the first example (with the same magnification) can be compared to a simple crop in Photoshop and the second one (with the same MP count) to a resize in Photoshop (yes, it's cropped too but that's not really the point here).
Basically this means that by
resizing an image in Photoshop you will alter the DOF. Making an image larger will make the DOF smaller while making the image smaller will make the DOF larger.