wheat beer yeast is usually much less flocculant (meaning it stays in solution instead of settling out) compared to general ale strains, so assuming you use a wheat beer yeast it will almost definately be hazy. Also, the proteins in wheat (I think, but I'm not sure) tend to cause haze too.
Also, the only absolute is to take everything with a grain of salt: I would not claim all wheat beers are supposed to be cloudly stylistically, but it is the norm.
Edit: made my post clearer. heh