It depends on the drive. An OEM drive (either no packaging or in a plain white box) most likely won't have any cables. Retail drives will usually have a cable.
What drive did you get? Most optical drives use Serial ATA nowadays.
very few times do Optical drives and HDDs/SSDs come with cables. they are cheap enough you can order them on line or even go to your computer store locally and buy them for around $5 USD or cheaper.
No the optical drive does not usually come with cables. If it is sata then you need to buy a sata data cable (link below). Your PSU should have a sata power cable to power it. If the optical drive is older and is IDE then your MOBO may not support it.
very few times do Optical drives and HDDs/SSDs come with cables. they are cheap enough you can order them on line or even go to your computer store locally and buy them for around $5 USD or cheaper.