From a "day of wedding" perspective, no. It just matters that you prepare. See I'm not doing my rehearsal at The BRIX? How do I prepare?
That said, rehearsals are traditional social events that are fun for many, so it is up to you. If you are having a Friday wedding, it is nice to do so, as you can do some set up and make your day of a bit more relaxed. If you are having musicians, have them come that night, so we can get them set up.
All that to say, it is entirely your call, and it will work out either way!