Definitely build a run for your chickens. If I got a comment like that from my neighbor, I'd take it seriously. The next one might not be so jovial.
Chickens will put themselves to bed at night. But it's up to you to close and lock their door so that they don't have any night time visitors of the deadly variety.
If you have a run, then the chickens can be outside all day, on THEIR terms, and you can come and go without worrying about them. When you free range exclusively, you never really know what's going on when you're not there to watch them. And let's be real - who wants to do that ALL DAY?
Unattended free rangers are exposed to all sorts of trouble, namely: neighborhood dogs, hawks, raccoons, coyotes/foxes, cats. Spend some time over at Predators and Pests and then decide. There are plenty of folks who exclusively free range, and of course the chookies LOVE it, but losses are expected. I don't think my nerves could handle it...