No. In fact, most programs would actually run faster if all their code were crammed together into a single method.
However, a lot of the time, you care more about elegance and reusability than you do about speed. As a result, most of your code should be modularized (using methods, objects, inheritance, etc) in order to make life easier for you and anyone else who has to deal with the code.
In a few cases, you may find that there is a substantial speed boost to be gained by cramming some code together into one method, in which case, go ahead. Remember, the code that runs once every second, or even a hundred times every second, should be elegant and reusable; it's the code that runs a million times every second that needs to be fast.
Another point, of course, is that recursion is kinda hard to do without splitting the code up into methods. Trying to put your whole program into one method AND making that method recursive will probably slow the program down or even crash it.