I'm pretty sure no Nikon camera since the D700 has had this feature.
Edit: to clarify you don't HAVE TO use a card reader, but you would have to use software such as Photo Mechanic or Nikon Transfer to effect the transfer. I prefer the former to rename photos into date time upon ingest. That way I can ingest from several cameras into the same folder and they are automatically ordered in time shot sequence. All decent ingest program's can also automatically route backup copies for you.