No, you do not have to. However:

Direct skin contact (optimal):
If you lie on the sheet with bare skin (for example legs, arms, feet), the grounding effect is transferred fully. That is the best and safest option.

Placing a thin, natural cloth over it (possible with reservations):
You can put a thin, untreated cotton or linen sheet over it (no cotton-linen blends).
- The thinner and more natural the material, the better the contact.
- Strong dyes, polyester or fabric softener residues interrupt conductivity.

Thick or synthetic sheets:
These insulate electrically and the grounding effect is lost.
Example: a dark microfibre fitted sheet means no contact.