the verb is "jouer à" for sports (jouer de for musical instruments)

je joue au tennis

je joue au volley

je joue au football

etc

So, yes, it's wrong to leave à out

Many French verbs take prepositions where the English equivalent verb doesn't (and sometimes the other way round). When you learn a new verb it's always a good idea to learn its corresponding preposition (if it has one)

The rule is that in a negative sentence where the noun is the direct object of the verb being negated, de is commonly used instead of an indefinite or partitive article (un, une, du, de la, and des).

examples

Je n'ai pas de chien. - I don't have a dog.
Pas de problème. - Not a problem.
je ne veux pas d’eau - I don’t want any water