That's an implementation detail really. They could be or they could not depending on the flexibility of your ORM. For instance, if your ORM allows to map your domain objects without polluting them with persistence concerns then that's the approach that requires the less overhead and which I'd go for.
On the other hand, if your ORM is not flexible enough then you could go for a pragmatic hybrid approach where your AR and it's state are two different classes and where the state class is simple enough to easily be mapped. Note that the AR would still be responsible to protect it's state here and the state object wouldn't be accessed directly from outside the AR. The approach is described by Vaughn Vernon here.
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