Not necessarily. If it's a non-stop, you can leave the luggage downstairs, no issue of anyone taking off with it. If it has just one or two stops, you can "visit" your luggage for a few minutes at each stop and then head back up.

For my annual trip to France in July, even when the luggage is in the same car, I always check on it at each stop. I also try to choose a non-stop train if possible, so I can rest if I want.