So... I guess that would depend on what pesticides... after all many are intended to kill bugs. Some are targeted and won't kill all bugs. I've not heard to do this specifically form pesticides though I've heard of it as a 'good practice' when starting insect cultures from w/c, I'd be interested to read more.
Some other undesirable chemicals can build up in tissues or the exoskeleton, isopods for example, can accumulate heavy metals.