No, the relation you stated in the beginning is a differential relation, meaning it is good only for really close points. (It's like a taylor expansion)
Otherwise you need to develope a formula using trigonometry or using the definition of distance via cartesian coordinates then substituting with polar coordinates.
Back to your original question: dtheta denotes a change in the angle. But as you may know, the angle between two rays doesn't depend on their length. So the information of the angle itself doesn't give you a measure of distance. At small distances from the origin, taking a small angle difference will give you a small distance (the arc of a small circle). At large distances, taking a small angle step will give you a larger distance.
Therefore the r dependence comes in.