You’re under no obligation to choose a license and it’s your right not to include one with your code or project. But please note that opting out of open source licenses doesn’t mean you’re opting out of copyright law.
You’ll have to check with your own legal counsel regarding your particular project, but generally speaking, the absence of a license means that default copyright laws apply. This means that you retain all rights to your source code and that nobody else may reproduce, distribute, or create derivative works from your work.
Disallowing use of your code might not be what you intend by “no license.” An open-source license allows reuse of your code while maintaining copyright. If your goal is to explicitly opt-out of copyright protections, try a public domain dedication like the Unlicense or CC0. If you want to share your work with others, you must opt into it.
Even in the absence of a license file, you may grant some rights in cases where you publish your source code to a site that requires accepting terms of service. For example, if you publish your source code in a public repository on GitHub, you have accepted the Terms of Service which do allow other GitHub users some rights. Specifically, you allow others to view and fork your repository.