Not as a rule, but as for playing any instrument, when there is no definite article in portuguese, it is usually the oposite in english. As we say "tocar violão, flauta, violino", they say "play the guitar, the flute, the violin" but as i quoted, it is not a rule.
I would never omit the article in English - I suppose it just depends where you are from (I'm Scottish, we have been known to speak funny up here!). To me, 'I play the guitar' is much more common and natural than 'I play guitar'. The joys of language learning, eh?