If you mean the equivalent of Anti-virus software on Windows, then no. Keep 'allow install from non-market sources' (sideloading apps) off when you're not actually doing that, and be smart with .apk's you do sideload. Anti virus on Android is not 'real time protection' like it is on a PC, so AV apps are sort of a gimmick.
The security risks on Android are in the permissions of apps you
install, and hence have agreed to if a malicious app starts data mining your contacts list. So if you're careful with permissions theres no reason for an AV.
If you mean a security app for the case of theft, then it is up to you, but I recommend people who carry their $800 smartphones everywhere at least have a backup like that installed. I picked up Cerberus
free a while back and it's great to have on my phone just in case
. Check out what it does in this video
A free alternative for malicious software and theft is Lookout
, which is quite popular, but I've never used it myself.