No, you can just use Power BI by itself without an Office 365 license. We have had customers that were only using Power BI and not using Office 365. It creates a "shadow tenant" in Office 365 that you have to convert when the customer eventually decides that they want Office 365. So, just beware of that issue.
In my opinion, I would create my Office 365 tenant first, pay for a single license of something like an F1 at like $4 bucks a month and then setup your Power BI on that tenant just to reduce hassles later on, but that really up to you.