No, they do not. If your cat has never been outdoors, he will be perfectly happy and safe indoors...
I have one cat who has never been outdoors and will not even go near the door ever. I rescued an outdoor cat a few years ago and she also never goes to the door. I think she was traumatized and I have another cat which when I adopted her, she was an indoor/outdoor cat with previous owners. That one, I need to watch all the time as she watches the doors. She has slipped outside a few times but I was lucky enough to catch her as I live on a very busy road. I do take her for stroller rides and she loves it.
If you do let a cat out, that's it. It will always want to go out and it is too dangerous nowadays for cats to be roaming by themselves...