That depends on what you're referring to.
If you delete the module from the Module Definitions page, removing it from DNN, all tables should be removed if the module developer use the proper formatting for the uninstall scripts.
If you're talking about removing a module from a page, I believe that most modules will not remove data from the database, even though the module doesn't exist anymore, though I honestly have never looked in the tables to see if there is data there for deleted modules. My guess would be yes, but I'm not positive on that one. I'm sure someone else has investigated this before and may have more info