Yes they do and it really sucks!

The unwelcome sexual side effects that often occur with SSRI (ex: prozac, paxil, zoloft, celexa, lexapro, etc) and SNRI (effexor, cymbalta)anti-depressa nts is one of the most common complaints and reasons people discontinue their meds. Like any side effect, not everybody who takes the med will have it. It can decrease (or completely stifle) libido, make orgasms weak & not very satisfying, and/or make it impossible to actually climax.

These drugs alter the levels of serotonin in the brain (SSRI = selective serotonin reuptake inhibitors, SNRI = serotonin-norepinephri ne reuptake inhibitors)....seroton in is involved in mood disorders, but also serves many other functions. If I remember correctly (I have done a lot of research on the subject), it is also involved with appetite, sleep cycle, sex drive, and such. So, it is entirely feasible that tinkering with the levels can cause disruptions in other areas that are sensitive to serotonin exposure, resulting in loss of libido.
I've been on MANY medications and have definitely had to deal with this problem. Effexor was the worst for me, but there are a few others that are a close second. The good things are...it seems to be somewhat dose-dependent (the higher the dose, the lower the sex drive) and libido returns when the drugs are discontinued ...but, I strongly recommend to never stop taking SSRI's or SNRI's cold turkey! The withdrawal can be nasty...they should be tapered off gradually. Also, it can be hard to find the right anti-d for you, so if you found something that is working, give it serious thought before going stopping it. It is usually recommended they be taken for at least 6 months after symptoms improve, assuming the depressive episodes aren't chronic. Going off of them too soon can trigger relapse and depression itself can also be a libido killer.

Wellbutrin is one of the few that does not have sexual side effects associated with it...probably because it targets different chemicals in the brain than most antidepressants on the market. (It's in a class by itself). Sometimes, doctors will prescribe it in addition to an SSRI/SNRI, to try to counteract libido issues. (Which has never worked in that way, for me personally).