It's not about "volunteer activities" or lack thereof.
It's about how well-rounded you are as an individual in terms of skillset.
For example, if you have a highly analytical background - you did engineering, sciences, accounting, etc. in undergrad, and then you worked in a highly analytical job -- the big concern is whether you have decent interpersonal skills because almost nothing in your academic or professional background alone can show that. That's where extracurriculars can come in -- the responsibilities and achievements you have here may complement and reveal certain aspects of you that may not be evident in your academic/professional history, particularly with respect to interpersonal skills and/or leadership potential.
So it's not essential for everyone. But since most applicants come from such analytical backgrounds, they do need something to show that they're not just human spreadsheets.
Alex Chu
alex@mbaapply.com
www.mbaapply.com
http://mbaapply.blogspot.com