Some do, some do not. Part of narrowing down what you want is going to be deciding on pockets or not. For some people, a gilet without pockets is automatically off the list. I tend to prefer pockets generally, but if you just want something you can take on and off they aren't essential. There are no rules.
The most basic place to start is with your strategy for wearing a gilet and what is underneath. If you expect to only wear the gilet for part of the ride then pockets aren't necessary. Loaded-up pockets will make taking it on and off more difficult. If that's your strategy, look for a design that makes getting to your jersey pockets easier.