Yes, but not the way you think. This an area of common confusion for saunas.  People associate the need for ventilation with a bathroom and shower (or steam shower).  You ventilate a bathroom to remove excess moisture.  Saunas are by nature a dry environment-you are essentially baking the air.  Typical sauna humidity is around 10%' with momentary spikes when water is splashed on the rocks. Your average household humidity is around 40%.  The sauna is in fact much dryer than the rest of your home.
Sauna venting does not mean venting to the outdoors as you would for a shower. It  means cross ventilation. It refers to an inlet (low behind heater) and an outlet (generally high in opposite corner from heater). The purpose of sauna ventilation is to move the air from the heater to the seating area.  In general, you should not vent to the outdoors, but into the adjoining room so that the warmed air is re circulated.
(Remember that saunas are dry heat, there is no concern of humidity spreading all over the house.)
It is not always essential to have vents fin order for sauna to operate properly.  If your sauna installation will allow you access to install vents at a later time, you may try sauna without vents with a contingency to add at a later date if it is determined they are required.
If venting openings are not easily accessible (i.e. exterior wall), there are options redirect vents by ducting to open wall.
See vent details here: Sauna Venting