No. Alexa provides free traffic metrics for all websites. The data comes from a variety of sources that contribute to our global sample.
Alexa has a “Site Overview” page for every website in the world. We even have Site Overview pages for sites that don’t exist, such as this-site-does-not-really-exist-at-all.com: http://www.alexa.com/siteinfo/this-site-does-not-really-exist-at-all.com
You can use robots.txt to remove your site from our Sites Linking In data. You can find more information here: Alexa's Web and Site Audit Crawlers. Robots.txt changes will not affect the non-Sites Linking In traffic information that Alexa shows, as that data does not come from crawling your website.