Theft-deterrent radio

I am installing a K&N CAI, the instructions say to disconnect the negative battery cable. A salesman at the delership where I bought the car told me the radio won't work after I re-connect cable because of the theft deterrent lock in the radio. He told me I would have to bring it in to the dealership to have the code entered into the radio to operate again. Did anybody else have to do this after installing a CAI.