Neither does OpenAI's Codex CLI - you can confirm that by looking at the source code https://github.com/openai/codex
Cursor and Windsurf both use semantic search via embeddings.
You can get semantic search in Claude Code using this unofficial plugin: https://github.com/zilliztech/claude-context - it's built by and uses a managed vector database called Zilliz Cloud.
They do use RAGs a lot for their desktop app, their projects implementation make a lot of use of it.