You do if you want it to connect to the thing you're playing on.
Unless you're ok with a shitty Bluetooth connection. But I'm guessing few people comparatively are using that, at least as their primary use case.
Okay, but I think that that kind of misses the broader context. This only came up as a hypothetical for how one could discharge a controller. If you're playing on a wired connection, then the console is charging thr controller and the issue never comes up in the first place.