In a lot of case, yes we do .
In almost all cases we need to have attic access. There have been 2 or 3 times we managed to get a bathroom exhaust fan without attic access, but usually this is not the case.
We usually install a new bathroom exhaust fan from an existing light. This means that fan will turn on and off with the light. We have always exhausted the fan to the outside, usually the eves.