Yes, it does create a session for each "new visitor". Actually, By "new visitor" meaning a user who does not already have a session assigned in the server or has no valid cookie to send.
You will most likely need the session to perform many actions, regardless of whether you're logged in or not. EG: Take into account anonymous posting and, actually, most form posting that perform security checks. (Disclaimer: I can't confirm this as I haven't taken a look at the code, though... just using my memory here).
Regarding performance, I can say taking more actions per user in the server will always consume more resources. However, the performance you pay should be a fair price considering the features you can get. If you're still worried about performance then you can take a look at this section http://php.net/manual/en/session.configuration.php
from the PHP user's manual.