You could change the transmission fluid out without replacing the transmission fluid filter.
However on most vehicles you would have to drop the transmission pan and replace the gasket along with the transmission fluid.
You can usually buy a transmission gasket and filter kit that includes the transmission pan gasket as well as the transmission filter for $30.00 or less depending on the vehicle.
So while you have the transmission pan off and the fluid drained out you might as well just replace the filter as well because it could become clogged although they rarely do.
But when you're replacing the transmission fluid the transmission filter should be changed as well.
If you have a transmission shop change the transmission fluid they will usually change the filter as well unless they just suck the old transmission fluid out and replace it with new.
But I would recommend replacing the transmission filter anyway.
Usually after 3 to 5 years or 30,000 miles or so you should change the transmission fluid and filter as preventative maintenance to keep the vehicles transmission in good shape and prevent a breakdown.