It is not true for axioms.
For example, of the
Zermelo-Frankel axioms that are the foundation of set theory, one of them, the Null Set axiom (##\exists x\neg\exists y(y\in x)##) does not use an entailment symbol ##\to##.
Another foundational example is
the Peano axioms that found the natural numbers. The first one (##0\in\mathbb N##) contains no entailment.
However, nearly all
theorems (as opposed to axioms) have the entailment form. They typically have a set of
premises, and a
conclusion that follows from the premises - therefore an entailment. For example, every continuous function on a compact set is bounded. This may be restated as 'IF f is a function that is continuous and has a compact domain THEN f is bounded'.
The statement about prime numbers is in entailment form, in the way it is usually proved and presented, which is:
'IF ##x## is prime THEN there exists an integer ##y>x## that is also prime'
The statement '
there are infinitely many primes' sounds like it contains no entailments, but when we interrogate the definitions of 'prime' and 'infinitely many' we will probably find that we need entailments to make those definitions. For instance, a common definition of ##p## being prime is:
$$
\forall x\forall y\ ((x\in\mathbb N\wedge y\in\mathbb N \wedge x\cdot y=p)\ \to\ (x=p\vee x=1))$$
However, an example of a theorem that does not use entailment is
1+1=2
which, in the language of Peano, is
$$S(0)+S(0)=S(S(0))$$