No, you don't. Most democratic voting systems allow abstention for precisely this reason. In the UK you're allowed to 'spoil' your ballot paper so that it's deemed invalid.

If done properly then abstention is a perfectly valid alternative to not voting at all, because your vote means it's more difficult for the parties to obtain a majority. If you don't vote then (ideally) you have no effect on the numbers. Whether this is how the US system works, I don't know, hence the ideally.