Yes, though there are some ways around this. You could send the user to another domain to sign in using a unique request ID that identifies the user. After authenticating this unique ID can be communicated back to the first site to show the user has authenticated, and a cookie could keep the session information. That wouldn't give a seemless sign-in on every site, though - you'd need one cookie (and one sign-in) per domain.

The other way is to have all StackExchange sites be subdomains of stackexchange.com - which is how the designers of the web intended it to be, I think.