Yep, and there are some things you can't do in Co-Op.
Co-Op in this game as it is now is mostly for helping others level and gather materials from hard to kill area bosses and things like that.
(All subject to change for final release of course)
if I remember correctly, not really the whole game. there were dungeons that you could not enter in coop, and the discovered progress was only saved on the host players account. I might not remember correctly though.