Generally, no. Koi are coldwater fish, and have no problem wintering over outside. Koi can even survive in a pond covered with ice, provided that there is adequate oxygen in the water.
Koi owners in extremely cold areas should take precautions to insure that their fish and ponds are prepared for winter. This can include adding a heater to the pond, increasing aeration in the pond, or possibly bringing the fish inside to a warmer climate.