Yes, all batteries will self-discharge. Most mobile devices use lithium-ion (LiIon) batteries, which have a self-discharge rate of about 8% per month (cf Wikipedia). That equates to a half-life of about 8 months. And much faster if it gets much warmer than 70F. So you'll want to recharge before using again. And it wouldn't hurt to recharge every 6-12 months anyway. When a LiIon battery goes into deep enough discharge, it can get into a reverse charge condition that you may not be able to bring it out of.
Still, it's a good idea to take the batteries out if you're not going to use the device for a long time. The battery will discharge even faster in the device, since the device needs a tiny bit of battery power to monitor the on/off button. And there's always the remote possibility that a battery can leak and harm the device.
-Bob
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