Yes and no. Whenever you fully die you will lose half of your money and a portion of your exp towards a skill point. In Sekiro one of the main mechanics is that you have the ability to resurrect yourself when you die so this penalty only counts during a 'true death' when you run out of resurrections.
There is also another penalty for true death for an in-game mechanic called Dragonrot. You don't need to worry about this if you aren't looking for a specific ending to the game.