The short answer is no. There’s no compelling reason to drain the water in either a fish or planted pond, as long as you winterize the pond correctly to protect your fish, your plants and your equiipment, your pond may even end up healthier and happier after a good winter's nap. Of course, the first place to start is to check the type of fish and plants you have and consider whether they're hardy for the winters in your area. If ponds typically freeze over in your region, tropical fish and many other types simply won't make it. Koi and common goldfish (Comets and Shubunkins) shouldn't have any problems, though. You should plan on moving your more delicate fish friends indoors, in holding tanks or aquariums. In areas where the temps are milder and only rarely hit freezing, you may be able to keep some (but not all) fish outside. Check with a local aquariast on the needs of your individual species.
In a planted pond, your tender annuals won't survive a winter outside except in tropical climates. It's best to simply dispose of those in a compost heap and plan to buy new ones in the spring. Tender perennials can be brought indoors for the winter, which is much easier to do if they're potted. Keep them in a tub of water that covers the drainage holes until the weather is warmed up and they're ready to relocate to the pond. Cold water species like water lilies, water hyacinth, frogbit, and horsetail can all survive when properly prepared for the season. Look into the specific requirements for your plant - most require cutting back and some need to be relocated to the deepest parts of your pond.
