I'd go as far and say that they have different goals. pfSense is a full featured firewall/IDS/IPS system which requires beefier hardware by default but on the other hand also provides you with a better integrated system where as OpenWrt mainly targets "low-end" embedded systems and wireless which in turn comes with its own limitations and/or advantages.
OpenWrt runs on fairly low power devices and has much better wireless support thanks to the Linux kernel and wireless stack although having that in mind you're going to look at a few compromises compared to a fully fledged Linux distribution. That said, there is work being done on FreeBSD regarding wireless connectivity but as most of the user base are using it as a network appliance and/or server related tasks wireless networking doesn't get much priority.
pfSense uses FreeBSD and pf primarily which is a different beast compared to Linux and iptables. In terms of performance they're pretty much the same even on rather slow devices like MIPS64 although you would most likely see better performance on FreeBSD if you were to use ipfw instead of pf however. There's also some (experimental) work being done porting over npf as pf is getting a bit dated.
In terms of performance on beefier systems you'll probably see lower on OpenWRT unless you compile your own firmware with a few tweaks as x86/x86-64 targets (and packages) are compiled for pretty old CPUs due to compatibility and size.
As far as updating and security goes pfSense has a nicer patching/updating path IMHO.
In short, if you're planning to use x86 that's relatively new I'd go for pfSense because of its "completeness" but if plan to use MIPS or ARM devices (at least to some extent) with wireless integrated OpenWrt is more or less your only option.