It is healthier to sleep without a pillow.
When you go to sleep without a pillow your neck and head are kept in a neutral position which reduces headaches and neck pain.
However it can be uncomfortable for most people to sleep without a pillow so if you need to sleep with a pillow then you should.
I sleep much better with a pillow than I do without.
Babies however should sleep without a pillow because they can suffocate from the pillow but anyone older than age 14 months can sleep with pillows.
Some people get better sleep without pillows while other people have a really hard time sleeping without a pillow.