Not necessarily
Though radio is one of the least expensive and most useful ways
to get signals through interstellar space. But its drawbacks include
being drowned out by natural celestial radio noise; this is one reason
why we may not be picking up the equivalent of alien I Love Lucy
shows.
Others advocate lasers, which while not being so spread out as
radio waves, would carry a lot more information and would be
easier to recognize as artificial.
Others think that infrared, such as the glow from a Dyson Shell
keeping in all the solar radiation of the star it surrounds, might be
another way to detect an alien civilization.
This long article goes into detail on the various methods ETI might
use to send signals across the galaxy:
http://www.coseti.org/lemarch1.htm