No, exit interviews are voluntary and not required in any US jurisdiction. However, they can be a very valuable practice that informs you about your company’s human resources and general performance. It may not be required but it is certainly recommended.
You are free to structure your interview in any way such that the content of the form depends on the information that you want to collect. Generally speaking, the form should at least ask for the reasons for departure and contain a survey for collecting employee opinions on all the relevant aspects of their work.
The best way to hold exit interviews is in person. This allows you to gain a deeper understanding of why an employee decided to leave. Alternatively, you can contact your employee over the phone or send them an Employee Exit Interview Form in the mail.