No, you don't necessarily have to, but it depends.
You do need your cycles back, obviously, which may mean cutting back or even full weaning in some cases. It also depends on your drug regime. The general fertility ones are ok, but some women do need to take nastier things which might not be.
There's a podcast here by a woman (from ABA) who's done some research into this. (No.22)
Fome FS will say you must wean, some say not - I think this is basically because there's been little real research done into it. We know many women can conceive whilst still breastfeeding, so why not when undergoing fertility treatment as well - providing breastfeeding isn't interfering with your cycles.

ETA- I didn't wean, but my supply was knocked out by the drugs and DS eventually weaned at 8-9 weeks.