Not at all (at least not in my case). I already know how much I can afford to pay for someone doing that work I'm hoping to hire you to do. I want to make sure you're interested in that work before I tell you that number, only because I don't want that number to be what pushes you over.
Sure, maybe you'll lie and say yes to get the number from me. That's a risk I have to take. But if you say no, at least we didn't bother having you come on board just to be unhappy.