The afterglows of gamma-ray bursts (GRBs) have more soft X-ray absorption than expected from the foreground gas column in the Galaxy. While the redshift of the absorption can in general not be constrained from current X-ray observations, it has been assumed that the absorption is due to metals in the host galaxy of the GRB. The large sample of X-ray afterglows and redshifts now available allows the construction of statistically meaningful distributions of the metal column densities. We construct such a sample and show, as found in previous studies, that the typical absorbing column density (N_HX) increases substantially with redshift, with few high column density objects found at low to moderate redshifts. We show, however, that when highly extinguished bursts are included in the sample, using redshifts from their host galaxies, high column density sources are also found at low to moderate redshift. We infer from individual objects in the sample and from observations of blazars, that the increase in column density with redshift is unlikely to be related to metals in the intergalactic medium or intervening absorbers. Instead we show that the origin of the apparent increase with redshift is primarily due to dust extinction bias: GRBs with high X-ray absorption column densities found at $zlesssim4$ typically have very high dust extinction column densities, while those found at the highest redshifts do not. It is unclear how such a strongly evolving N_HX/A_V ratio would arise, and based on current data, remains a puzzle.
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