Do I need to shorten chain when fitting a new smaller cassette? My current cassette is 11-36 and I want to change it to 11-32.
Can I stay with my current chain or I need to modify my current chain to fit the new cassette?
As the smallest cog and smallest chainring have not change changed size, the chain length will be no worse than it was previously.  With the smaller large cassette cog, you may find you can shorten the chain, giving better small/small tension.  The difference (presuming a reasonably sized chain to begin with) of dropping a link will be minor enough I doubt I would bother.
However, as pointed out in comments by @Craggie - when fitting a new cassette, its usually false economy not to fit a new chain. In that case, make the new chain the best size for the new cassette.