Yes a ceiling fan must be rated for your outdoor location. The question is whether it needs to be Damp Rated or Wet Rated.
Damp Rated Ceiling Fans:
Damp-rated outdoor ceiling fans are for areas that are not directly exposed to rain, snow or water. Examples of this would be covered patios and screened porches. See a selection of damp rated ceiling fans here.
Wet Rated Ceiling Fans:
Wet-rated outdoor ceiling fans are designed to handle direct exposure to the elements. This would be more appropriate for pergolas. Need a wet rated ceiling fan? Here are some beautiful wet rated ceiling fans.
Choosing the right ceiling fan for the right location will ensure that you are not only safe, but can enjoy your fan for years to come.