Some programs can be completed without a thesis. You might work on an extensive seminar or degree paper or project in lieu of a thesis. In some cases your research requirement may be fulfilled through the successful completion of a certain course. Depending on the department/program's guidelines, you may or may not work with an advisory committee when completing a non-thesis option.
If you're interested in this non-thesis option, work with your advisor to be sure your program of study complies with the requirements of the Graduate College and your academic department.