No you don't though. Quite the opposite in fact. Average balance is a factor, and not having a balance obviously creates one close to $0. I've never been charged interest on a credit card, and my rating was 730 back when I applied for my first car loan. It's probably better now, but I don't know what it is. I've had to finance about $35,000 of different things from cars to engagement rings, and that rating has always helped me get a great rate.
Anyway, this thread is about thermal shirts so I feel like a loser after writing all this!