Usually, no. On most DSLRs, autofocus is done with the lens wide open, and the camera stops the lens down only at the moment of exposure. Because of that, changing to a smaller aperture normally does not require refocusing, and depth of field will increase, making focus less critical.

If you change from a smaller aperture to a wider one, the shallower depth of field can make focus errors more noticeable, so checking focus again can be helpful.

There is one caveat: some lenses can show focus shift, where the actual plane of focus moves slightly as the lens is stopped down. This was more commonly discussed with some older manual-focus lenses, but it can occasionally happen with modern lenses too. In normal use, modern autofocus lenses are designed to minimize this.

So the practical answer is: usually you do not need to refocus after changing aperture, but if you are shooting wide open or using a lens known for focus shift, it is worth checking carefully.