Not routinely — but you never find out in advance. Requests arrive as part of a broader examination, often years after the return was filed.
HSA documentation is not something you submit with your return. Nobody reviews it unless your return is examined, and most returns never are.
That's exactly what makes it risky to skip. The request, if it comes, arrives after the fact — often two or three years later, referencing a distribution you barely remember. At that point you either have the records or you don't; there's no opportunity to go build them under a 30-day response deadline.
The asymmetry is worth thinking about clearly. Keeping records costs you a few minutes per receipt. Not keeping them costs nothing at all, right up until it costs you income tax plus a 20% penalty on a distribution you were legitimately entitled to make.
Large or unusual distributions naturally draw more attention than small ones. If you're planning a five-figure catch-up reimbursement in retirement, that's precisely the withdrawal you want fully documented.