Only if you are allergic. Sulfites are a naturally occurring compound that nature uses to prevent microbial growth. They are found on grapes, onions, garlic, and on many other growing plants. No wine can ever be "sulfite free", since they come in with the grapes. (Unless they are removed in the lab, which will make the wine very unstable - it would need to be consumed within weeks.) On average, 2oz of dried apricots have 10 times the sulfites as a glass of wine does.
Winemakers have been adding additional sulfites to wines for millenia. The Greeks and Romans used sulfur candles to sterilize their wine barrels and amphorae. Sulfur protects to the wine from oxygen damage, and again helps prevent organisms from growing in the wine. This allows the wine to "last longer" too, which lets it age and develop all of those complex flavors we all love and enjoy so much. If you didn't add sulfites, the wine would turn into vinegar in a matter of months. Don’t be fooled – Red wine has LESS sulfites then white wine, as a rule. If you feel this is really a problem for you drink RED.