Yes, but thats only for troubleshooting, if/when you find out that you AV is preventing your games from running, long term solution is to either change its setting or use different AV.
The problem is this
http://supportwiki.steampowered.com/wiki/Antivirus_or_security_software_reports_Steam_is_malicious said:
Important:
We encourage protecting your PC from viruses, spyware and other forms of malicious software. However, it is not necessary to run anti-virus and other security applications while you are engaged in playing a game on Steam.
Anti-virus applications often interfere with Steam and can cause a range of problems from connection issues to games not launching correctly. Please disable your anti-virus software before launching Steam if you are experiencing issues while using Steam.
As I said, its standard troubleshooting advice, but the way they advise people with problems on this page (and it has some more to say about specific programs) is bad advice. This is phrased in a way to ensure that a user with little knowledge about their computer is tempted to keep the antivir software off while being online with the Steam client. This is mostly some tech support person being stupid - but its still the official advice for people experiencing problems with antivirus software.
Note: they are telling people to change some settings, but failing that they do not advise changing the AV (which by the way can be quite costly or in some cases not a possiblity) they tell them to either disable or even uninstall it. To reiterate, its just bad advice.
Now: it is quite likely a non-issue for most people, but there are apparently quite a few commercially available anti-virus packages out there that do or at least have in the past interfere(d) with the Steam client's execution. Advising users to go without AV while being online is a sign of a tech support not actually caring about the consequences of such action

(though frankly, its not terribly bad compared to other FAQ type advice by other gaming companies - they tend to just post advice written for specific support tickets without terribly much editorial review).
Edit: as for the firewall thing, I don't actually agree that the steam client is off the hook there either, mostly because of this page:
http://supportwiki.steampowered.com/wiki/Programs_Which_Interfere_with_Steam said:
The following applications have been known to cause severe issues with Steam and playing games:
Anti-Virus Applications
* Avast!
* AVG Anti-virus *
* Kaspersky Anti-virus
* McAfee Anti-virus
* Nod32 Anti-virus *
* Norton/Symantec Anti-virus
* VIGuard Anti-virus
Anti-Spyware Applications
* CA Pest Patrol
* Spycatcher Express
* Webroot Spy Sweeper *
Firewall/Security Applications
* Comodo
* CYBERsitter
* ESET Smart Security
* Netlimiter
* McAfee Personal Firewall
* Nvidia Network Access Manager/Firewall
* Peer Guardian
* Tiny Personal Firewall
* Verizon Internet Security Suite
* Zone Alarm
* We recommend that these applications are fully uninstalled from your system if disabling them does not resolve the issue
that is quite a bunch of firewall and other safety related programs that by their own advice might need to be removed from the computer or at least disabled - again, its likely just a compilation of individual problems, but telling users to remove/disable their firewall and/or antivirus software for a program that is mostly used online is not good advice - especially since those users unwary enough to follow this advice are likely those that have not kept their OS updated either, so they are the ones most likely to be adversely affected by this advice.