This is a common misconception, but it is not true.
A Last Will and Testament is an estate planning document that acts as a set of instructions for your loved ones and conveys information like how your want your probateable assets to be divided and distributed (the assets owned by you) - and to whom, and who should be the legal guardian for your minor children if something happens to you before they reach adulthood.
In order for these things to take place, the court system steps in to oversee the process and monitor that it is done properly so that everything is accounted for and the property goes where it should. The person you name as your Executor in your last will performs these tasks for you after your death.