You need to set one up as soon as possible not only to let visitors know that your site is not ready viewing but also to tell search engines that it is not ready for them.
In a separate FAQ, we discussed the importance of making a setting to discourage search engines from indexing your new site, but there is no absolute guarantee they will observe this. Adding a Coming Soon or Under Construction page further ensures that they will.
If you are not familiar with Coming Soon pages, please read ou post which deals with this, “Do You Really Need These Pages?“