Depends what sort of plant - many shrubs don't need pruning back, some look better for it, most should not be cut back in autumn. Herbaceous perennials will naturally die back below ground by winter - some people cut them down in autumn for tidiness, others leave them and just clear the dead stuff away in spring. Some flowering plants do better if you cut out flowered stems, but its hard to be more specific without knowing exactly which plant you're talking about.

Many times I'll leave a bit of stem above just so I know where they are located over winter and spring for planning and planting purposes.