Short answer no
Long answer yes.
Generally speaking OSX is secure anyways and if you have various services turned off, such as SSH, remote login, FTP, etc. There's little most people can do to hack into your machine. Plus most routers have a firewall as well. With that said, if you feel you need that extra layer of protection, go ahead and turn it on. If someone wants to get in, they still probably can but it will take a lot of work.
fwiw, I have issues with the firewall turned on, connections issues with vpn and remote connectivity to my work's servers. So I keep it off and have had it off for years because I have said services off and my router is sufficient to protect me and so far, it hasn't failed me