If your happy with the standard gearing then you dont need to get any sprockets.
You can change the sprockets to lower your gearing which makes the bike quicker through the gears with a lower top speed or you can raise your gearing which makes for bigger gaps between gears and lower revs in top gear when cruising.
Changing to a sprocket with a different number of teeth alters the drive ratio. The Ninja 400's front sprocket has 14 teeth, the rear sprocket has 41 teeth, and the chain has 106 links. You can determine the effect that different sprockets will have here:
Another reason you would change sprockets is to reduce unsprung mass (which helps suspension) and rotating mass (which helps acceleration). Aftermarket rear sprockets made of aluminum are popular because they're lighter, and that improves performance. They do, however, wear out more quickly than steel sprockets.