Persistent motion of passive asymmetric bodies in non-equilibrium media has been experimentally observed in a variety of settings. However, fundamental constraints on the efficiency of such motion are not fully explored. Understanding such limits, and ways to circumvent them, is important for efficient utilization of energy stored in agitated surroundings for purposes of taxis and transport. Here, we examine such issues in the context of erratic movements of a passive asymmetric dumbbell driven by non-equilibrium noise. For uncorrelated (white) noise, we find a (non-Boltzmann) joint probability distribution for the velocity and orientation, which indicates that the dumbbell preferentially moves along its symmetry axis. The dumbbell thus behaves as an Ornstein-Uhlenbeck walker, a prototype of active matter. Exploring the efficiency of this active motion, we show that in the over-damped limit, the persistence length l of the dumbbell is bound from above by half its mean size, while the propulsion speed v∥ is proportional to its inverse size. The persistence length can be increased by exploiting inertial effects beyond the over-damped regime, but this improvement always comes at the price of smaller propulsion speeds. This limitation is explained by noting that the diffusivity of a dumbbell, related to the product v∥ l, is always less than that of its components, thus severely constraining the usefulness of passive dumbbells as active particles.