No don't have to but. It may be a good idea, but you don't have too. Many people do not eat a well balanced diet full of all the micronutrients that their bodies needs. Good nutrian is especially important during pregnancy. Vitamins help make up the difference. If you are getting everything your body needs from the foods you eat, then you do not need prenatal vitamins. Most woman are not so lucky.
No, but... The developing baby needs many vitamins in higher quantities than most women get in their usual diets. These help prevent birth defects - for instance, adequate folate (folic acid) is essential in preventing neural tube defects like spin bifida. So if you are considering vitamin-free pregnancy, talk with a nutritionist/dietician pre-pregnancy to discuss best dietary choices to ensure adequate vitamin intake.