This really depends on the features of your firewall, although I'm not an expert. For instance, Norton's Firewall program receives regular updates for it's active Internet worm blocking capabilities and it's "trusted" application list.
The former feature isn't present in all firewalls (nor is it actually a necessity to be safe from these threats for the most part). Additionally, many Firewalls rely on the user to determine which applications to "trust" or allow and so, again, do not need updating in this fashion.
For the most part, a Firewall keeps you safe by closing and "stealthing" the various data ports on your computer's connection that would otherwise be at risk from hackers and malicious software. This process is often passive and active whenever the firewall is activated, and since the number of ports on your connection always remains the same, the software does not have to be updated in the same way as an antivirus program. Hope that helps.