Some do, some don't. But if you want to use Alexa or Google Home or Siri to control you do need an internet connection to do the voice translate to command bit.

Personally I've gone with SmartThings (Samsung) to control the home tech and use Amazon as the voice interface. This allows me to be reasonably agnostic of vendor and interfacing standards (ZWave/Zigbee/Wifi), allows me to use a scripting language to control some aspects of automation (using Webcore app) and still use Amazon to issue voice commands to the same devices.

Kids love it, I like it, but not got full wife acceptance yet, she gets frustrated turns stuff off at the wall and then all the automation needs debugging!