You do if you're using a custom loop, one in which you purchase the various parts separately and connect them yourself. If you're referring to premade all in one solutions like the h80i/h100i, nepton or various other water coolers then no. They appear to have a radiator, fans and water block but they've got all the necessary parts built in. The water block often also houses the pump and a reservoir isn't absolutely necessary. The system is sealed at the factory with hoses and everything preassembled and the user then only has to screw the fan/radiator to the case at one of the fan openings and mount the water block/pump combo to the cpu with thermal paste like a standard air cooler.
Even if going with a custom loop, a reservoir isn't absolutely required. It can be beneficial, adding both to the looks (provides a large clear chamber to hold reserve water/coolant viewable through a windowed case), offers a means for air bubbles to rise out of the fluid and can be fitted with fill ports for adding coolant more easily to the system. It can also provide a visual for how much or little coolant is in the system so while adding coolant to the system the first time and bleeding the lines and radiator of air you can see how full the cooling system is.