In Canada, Is it more likely for faculty members to allocate funds for a PhD applicant than a master's applicant? I am currently applying to a Masters degree in neuroscience (McGill, in Canada). In order to get in, I have to contact an advisor that is willing to fund my studies. If I fail to do so, I cannot enter the program. (This is apparently common in Canada.)

I have already contacted two possible advisors but neither of them responded positively, arguing they had no positions available. 

Speaking with a friend researcher, he told me that it is less likely to get an advisor (and funding) for a Masters degree (even though the university is asking me to do so) and that I should better apply for the PhD program because researchers are not interested in investing money in a Master student. 

Is this true? Do researchers reject master's degree prospective students because they do not want to invest money in them? 

Thank you.
You friend might be right as well as the advisors you have contacted with.

It is true that a master's student is less likely to be productive (in terms of publications) compared to a PhD student.
Therefore, even if you are an above-the-average applicant, the advisor would not want to allocate funds for you. This is because when your time for productivity comes, you will finish your master's, you might go to another university for PhD. Therefore, allocating funds for a PhD student is more likely.

The advisors that you have contacted with might really have insufficient funds.

However, the solution for this problem, I think, is not applying for a PhD programme. Rather, you may state that you intend to continue your PhD in the same university, in case they do not want to invest into a master's student.