Processors come with a heatsink and fan if you buy retail. However you can also buy 'OEM" processors. These will normally come with only the CPU and not much else. Pay attention how it's labled if you want to make sure you get what you really want.
A lot of system builders buy "OEM" because they have no need for a manual and heatsink and fan....we already know how to install it and use aftermarket coolers.
Have a good one.