There isn't any other choice, To connect your data sources to PowerBI, you'll need to install and configure an on-premises data gateway, which requires an on-premises server or a virtual machine on Azure.
As you are aware, the machine setup that is suggested is:
A CPU with eight cores
Memory: 8 GB
Windows 8 64-bit or Windows Server 2012 R2 or later
Spooling storage on a solid-state disc (SSD).
If your resources are hosted in Azure, you can use the vnet data gateway, which doesn't require any setup.