If your ATmega328P is already set to use the internal 8MHz clock AND you are burning a bootloader that uses the internal 8MHz clock then it may work.
If the ATmega328P already has a bootloader that uses a 16 MHz (or 8MHz) crystal/resonator OR the bootloader you are burning is for a system with a crystal/resonator then you must have the crystal (and capacitors) or resonator in place when you program the bootloader.