Yes, we do. What makes Christians unique from other monotheists like Jews and Muslims, for example, is the belief that who God is and what God is like, we find most clearly in Jesus. So for Christians, the way to God is through Jesus and in the power of his Holy Spirit.
Not cultivating a personal relationship with Jesus would be like buying a house and being handed the keys to it, and then trying to get into the house without using the door. Pentecostal and evangelical piety really gives central importance to putting the key in the door, opening it, and stepping inside to enjoy the warmth and intimacy of home, of life-in-God through Jesus. Catholic piety stresses this, too. The best example is the centrality of the Eucharist in Catholic life. Who calls us to prayer? Whose life and teachings do we listen to in the gospel? Who presides at the table? Who offers his body and blood as food and drink for our journey home? If Jesus is the “way, the truth, and the life,” and we’re neglecting the relationship with him, then it’s hard to see how we’re really “Christ-ian”.