Depends on your country of residence. In the US, I believe this is the case, in Denmark, this isn't the case (http://taxinsights.ey.com/archive/archive-news/danish-assess...).
Sweden for example does, and I believe Norway as well. Funny that, Scandinavian countries usually have similar legislation. ( http://blog.btcx.se/bitcoin-nytt/dags-att-deklarera-bitcoin-... )