No, you don't specifically have to be in an extracirricular club or organization. I thought the same thing at first and unsuccessfully joined a couple student organizations.
It turns out that you have to have some things that look good on your application. There's such a wide range of things you can do in your spare time. As long as you spend it doing something productive, you should be alright. When you look at the other applicants, they will always have some sort of talents outside of the classroom. There's alot of musicians, travellers, etc...
