We consider a model in which Sgr A*, the 3.7 x 10 (6) M-circle dot supermassive black hole candidate at the Galactic center, is a compact object with a thermally emitting surface. For very compact surfaces within the photon orbit, the thermal assumption is likely to be a good approximation because of the large number of rays that are strongly gravitationally lensed back onto the surface. Given the very low quiescent luminosity of Sgr A* in the near-infrared, the existence of a hard surface, even in the limit in which the radius approaches the horizon, places a severe constraint on the steady mass accretion rate onto the source: M <= 10(-12) M-circle dot yr(-1). This limit is well below the minimum accretion rate needed to power the observed submillimeter luminosity of Sgr A*: M > yr(-1) M-circle dot yr(-1) . We thus argue that Sgr A* does not have a surface, i. e., that it must have an event horizon. The argument could be made more restrictive by an order of magnitude with microarcsecond resolution imaging, e. g., with submillimeter very long baseline interferometry. long baseline interferometry.