If you look up in the left hand corner of everyone's avatar you will see a little green triangle on some of them. That tells you that that person is online at the moment. If you see nothing up there at all, that means they are not on line. So the answer is... we have ways of knowing if you are eavesdropping or not, so no, you don't have to tell anyone that you are not on line at the moment. Even without that, we can usually tell by the lack of any responses. I'm on and off 30 times a day. If I spent that much time telling people I'm not here I wouldn't even have time to eat.
EDIT: I should add that there are some exceptions to that rule. If you turn off that option, which some do, you cannot tell for sure. I don't see that as overly important because I don't expect a response immediately anyway.