Not necessaily. But iirc, MZ is there for the OS to identify if it's an executable file. So, if the file is a bmp, which is NOT and executable file, and if it HAS MZ, it could be a virus, because this is fishy. This could be a disguised executable file in a form of an image file, to make you open it without thinking twice.
But every executable file should have MZ in front.