No, normally it will operate properly with no load, though the load regulation is not guaranteed. There is a slight internal load provided by the internal voltage divider, which is more than good enough at or near room temperature.
Note that the pinout is different from the positive regulators, and that output capacitance is absolutely required for stability, unlike their 78xx positive cousins. Chances are you’ve got one of those two things wrong. If it is oscillating it may appear to have poor regulation unless you have an oscilloscope to see what is really going on (and your load could be damaged),