No. (Not that there's anything wrong with that.)
While many therapists play slower, quieter, 'new age' type music, you can choose to have different music or no music at all. Studies have shown that music at under 60 beats-per-minute has a calming, relaxing effect on the body and therefore can enhance your experience.
However, while this may be true, any music you like to listen to while you relax can be listened to while you get a massage. If it relaxes you and you enjoy it at home, why wouldn't it do the same during your treatment? Ask your therapist what music he/she has to offer or if it is ok to bring your own from home.