I cannot find correct resources right now, but I have the answer. 

In short: **Yes they do.** 

One need to understand that Devtas are just souls with another type of body. We cannot call it a subtle body but the reason why Devtas exist is because pious souls have done great tapasya during their previous human (or other) life. 

But, devtas cannot achieve moksha. Lord Krishna had stated that one’s soul need a human body for spiritual perfection and unification. The reason behind is that Humans are capable of evolving, unlike the Devtas. 

That is why we have so many stories of even Devtas committing sins (not on purpose) but because their souls are yet to be perfected. 

Also, a Deva can be a soul with moksha who was given a duty by the Parmahtama in this universe.
Although, a good question is if it matters for the united soul since it is Parmahtama in all forms, whether Devas or humans.