If you are talking about ads on apps then yes you will need to download a very small amount of data to display the app, but this is so small it won't have a real effect on your data usage.
If you are talking about viewing ads in safari then, just like viewing ads on a computer web browser, you will have to download data and this will take more data to download than the ads on apps.
Hope this helps!
Edit: Damnit! Beaten again!