I am assuming you are meaning a relationship as in boyfriend/girlfriend type thing.

Not at all, relationships can have nothing to do with sex at all, really you are in a relationship because you like that person and they have the same interests as you and you just click and get along.

There are other ways of having a physical relationship that have nothing to do with sex, for example hugging, holding hands and kissing, some times these ways of showing affection can be more special to someone than sex.

I hope I have been of some help