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Annelids are dioecious.
 

Annelids with a single-sex organ, either male or female are known as dioecious. For example, Nereis is a dioecious Annelid.
Annelids that bear both male and female sex organs are referred to as monoecious.
For example, Earthworms and leeches are monoecious Annelids.

So Annelids can be either dioecious or monoecious. Hence, the given statement is false.