No. But depending on your situation, it might help. LLCs help separate your personal finances from the business side of things and protect you against legal risks. It also might make it easier to open certain financial accounts and receive a business line of credit.
As a freelancer, you're automatically considered a sole proprietor in the eyes of the government, which might be limiting for some. If you're interested in incorporating, I recommend discussing your options with a financial advisor or a lawyer.
LegalZoom also has a ton of helpful info and is a great place to start the process.