No not at all. Many artists do that, it started with The Who and was particularly popular in the 60s. Not so much in metal but there are some examples of it; I wish more metal bands would make concept albums, they can be so interesting.
The Who made numerous concept albums, as did Pink Floyd.
Dream Theater, most notably Metropolis Part 2
Husker Du's Zen Arcade (my favourite concept album and also my avatar <--)
Swans' Soundtracks for the Blind (not exactly a concept album but similar)
Radiohead have made a few, if you enjoy that sort of stuff
Rush have released a few records that aren't technically concept albums, but some people say they are eg. 2112 and Caress of Steel (check them out anyway)
Iron Maiden's Seventh Son of a Seventh Son
Genesis, The Lamb Lies Down on Broadway
The Kinks have some interesting concept albums too
And Bowie, of course