Well, ok, they dont have to either. You just have to pick one or two for your domain. Usually your character is supposed to worship or praise them in some way - at least give a small offering, ring a bell or just make a short prayer at their wayshrines. ^^°. Otherwise that would be pretty empty roleplay, at least in my oppinion.
If you pick a deity have some relation to it, love him, praise him, hate him, curse him or whatever comes to your mind. ^^