मुझे + verb (in ना form) + है = I must verb.
This is true for 2nd and 3rd person as well (तुम्हें आना है, उन्को आना है, etc.).
OK, so the necessity is in the entire construction, not just that ना form alone. Thanks.
It can also be used to express want. Eg. I want to come is "mujhe aana hai". However, a lot depends on context.