switch statement - handling default case when it can't be reached

Question

If I'm using a switch statement to handle values from an enum (which is owned by my class) and I have a case for each possible value - is it worth adding code to handle the "default" case?

enum MyEnum
{
    MyFoo,
    MyBar,
    MyBat
}

MyEnum myEnum = GetMyEnum();
switch (myEnum)
{
    case MyFoo:
        DoFoo();
        break;
    case MyBar:
        DoBar();
        break;
    case MyBat:
        DoBat();
        break;
    default:
        Log("Unexpected value");
        throw new ArgumentException() 
}

I don't think it is because this code can never be reached (even with unit tests). My co-worker disagrees and thinks this protects us against unexpected behavior caused by new values being added to MyEnum.

What say you, community?