If the question is ‘required’, then the answer is ‘no’, but if the question is if it helps, the answer is ‘yes’. Any master degree of science especially a stats or maths related or a relavant MBA for example will definitely help because of the following reasons:
- You have better outreach of the resume
- Your approach of data science is improved as you do projects / thesis work that are of masters level.
- You might have exposure to more stats and multivariate analysis related courses.
However, if you already have a job in data science, and just want to learn some knowledge more, masters degree might not add a drastic benefit.