Yes, any such $f$ is constant. In fact, any such $f$ which is bounded below is constant. This can be proven by martingale theory, as can the statement that harmonic functions bounded below are constant (Liouville's theorem).
Let $X_1,X_2,\ldots$ be a sequence of independent random random variables uniformly distributed on the unit circle, set $S_n=\sum\_{m=1}^nX_m$ and let $\mathcal{F}\_n$ be the sigma-algebra generated by $X_1,X_2,\ldots,X_n$. Then, $S_n$ is a random walk in the plane, and is recurrent. Your condition is equivalent to $\mathbb{E}[f(S_{n+1})\vert\mathcal{F}\_n]=f(S_n)$. That is, $f(S_n)$ is a martingale. It is a standard result that a martingale which is bounded below converges to a limit, with probability one. However, as $S_n$ is recurrent, this only happens if $f$ is constant almost everywhere. By continuity of $f$, it must be constant everywhere.
For the same argument applied to functions $f\colon\mathbb{Z}^2\to\mathbb{R}$, see Byron Schmuland's answer to this math.SE question.
In general, for a continuous function $f\colon\mathbb{R}^2\to\mathbb{C}$, if $f(x,y)$ is the average of $f$ on the unit circle centered at $(x,y)$ then it does not follow that $f$ is harmonic. So, we cannot prove the result directly by applying Liouville's theorem. As an example (based on the comments by Gerald Edgar and myself), consider $f(x,y)=\exp(ax)$. The average of $f$ on the unit circle centered at $(x,y)$ is $$ \frac{1}{2\pi}\int\_0^{2\pi}f(x+\cos t,y+\sin t)\\,dt=\frac{1}{2\pi}f(x,y)\int\_0^{2\pi}e^{a\cos t}\\,dt=f(x,y)I_0(a). $$ Here, $I_0(a)$ is the modified Bessel function of the first kind. Whenever $I_0(a)=1$ then $f$ satisfies the required property. This is true for $a=0$, in which case $f$ is constant, but there are also nonzero solutions such as $a\approx1.88044+6.94751i$. In that case $f$ satisfies the required property but is not harmonic.