Yes, and no. When you just graduated, you won't have a dime (in most cases anyways, unless you have rich folks) to be able to support yourself sufficiently. If you build some reserves before you plan moving to another country, you'll have a kind of buffer for in case things are not as you expected, or you can't find a job that easy.
Ask yourself the question : "Do I want to start with a ****load of debt, even before my life even started, or do I want a reserve to fall back on?"