Actually, C# does not really run in a virtual machine like Java does. IL is compiled into assembly language, which is entirely native code and runs at the same speed as native code. You can pre-JIT an .NET application which entirely removes the JIT cost and then you are running entirely native code.
The slowdown with .NET will come not because .NET code is slower, but because it does a lot more behind the scenes to do things like garbage collect, check references, store complete stack frames, etc. This can be quite powerful and helpful when building applications, but also comes at a cost. Note that you could do all these things in a C++ program as well (much of the core .NET functionality is actually .NET code which you can view in ROTOR). However, if you hand wrote the same functionality you would probably end up with a much slower program since the .NET runtime has been optimized and finely tuned.
That said, one of the strengths of managed code is that it can be fully verifiable, ie. you can verify that the code will never access another processes's memory or do unsage things before you execute it. Microsoft has a research prototype of a fully managed operating system that has suprisingly shown that a 100% managed environment can actually perform significantly faster than any modern operating system by taking advantage of this verification to turn off security features that are no longer needed by managed programs (we are talking like 10x in some cases). SE radio has a great episode talking about this project.