If it asks about claims, you are supposed to report any claim you make, on any policy. They ask the question to get info about your past history of accidents/claims; just because it was claimed on another policy doesn't mean to say it isn't part of your history.
Having said that, as previous answers have intimated. many people don't.
As homer says, the problem comes when you do make a claim, and they somehow find out about your omission. In the worst case, they could cancel your insurance.
I would be careful, as companies are exchanging much greater amounts of data than ever before.