not nessecaraly they can be cemented in or graveled in or if you live in an area that has a lot of clay you may not need either . the thing to do is ask the person that you buy your fencing from what is best.
If you will be using treated posts, I would not concrete them in. Dig the holes just about 6" deeper than your post depth and fill with gravel. set posts and tamp in real good. The gravel will help drain moisture away from the post. concrete will hold moisture into the posts and cause them to rot away a lot faster than normal.The first fence I built lasted about 6 years before the posts rotted and it fell over. The replacement is still strong after 11 years now.
Here in Souhern California you mus cement all posts. the trick is to put cement below the post before setting then slope the concrete away from the post on the top. the post will rot from ground contact from the bottom up and from pooling on the top
I aint trying to descredit anyone here, but eaven if you put dry concret in a post hole it will get hard, and even with treated wood, wood will rot if water has no way to get out! and with expansion and contraction wich all wood will do it make's a space between the wood and the cement at one time or the other, heck if its dry it may even split your footing if gets wet.
There aint no dout, water will hole up next to the wood when it rains. and pea gravel is a good footing for a post for the water to escape. over here we go down at least 42" and pack the footing and we warenty the work with out much worry.