In a word "Yes"
Just like linen, cotton, bamboo and other natural fibers, there is going to be some wrinkling. Only synthetic fibers made from petrochemical processes are less likely to wrinkle.
To reduce wrinkling there are a couple of options.
1. Fold your sheets immediately after line drying or machine drying. Folded sheets will show less wrinkles, where as sheets bunched up in a washing basket will get very wrinkly.
2. Set your dryer to 'iron' setting, if it has one. This will leave a little bit of moisture in the sheets and then iron straight away. The moisture left in the sheets will make the ironing a breeze.
100% natural fibers are great for you and the environment, but they do require a little more care than synthetics.