Untreated wood can be used to build a deck with but it would be best to use treated wood for decking as it will make the deck last longer.
The treated wood cost more money but it's worth the extra cost to make the wood deck last longer or you could use non wood deck boards to make the deck last even longer than the wood would ever last.
If you do use untreated wood for your deck you should make sure to stain and seal the deck a few months or so after building the deck.
You could leave your deck untreated even if you've used non treated deck boards.
However if you don't treat your deck with a stain or other deck treatment then your deck could rot out much sooner and then you'd have to replace the deck again.
If you have just built the deck and cannot afford to stain the deck or treat the deck right away then that's okay but you should stain or treat the deck with some water proofing water seal to help the water shed off the deck so that it doesn't rot out.
You don't want to spend a lot of money building a nice new deck and then have it rot 5 or 10 years later and then have to replace the deck again.
I would recommend staining and sealing the deck with water seal every few years to preserve the deck.