In theory, it shouldn't. But I only recently started doing it, and while I was going through the process of recompiling and running a vanilla kernel from scratch - I frequently did something wrong because I didn't understand it all and accidentally screwed it up. I'd call "make install" not really understanding everything it would do - and it would overwrite my lilo config file and thus - the option to boot into a working kernel. Now that I'm more familiar with the process and Lilo, it almost never happens.
Not that I do any kernel hacking, but why would this lead to a reinstall?