Not necessarily.

You don't have to claim the checked bag immediately after your first flight lands. If unclaimed after a certain number of minutes, the first airline will store it in their baggage office, and you can claim it later.

If you're worried about the bag being stolen, you can hang out in the baggage claim area until you see an airline employee retrieve it.

(Of course, if your first flight is an international arrival and you have to clear Customs, this strategy won't work.)