Depends! I use the following modifier pretty frequently:

Shift + CMD + 3/4/5 = Screenshot goes to desktop

CTRL + Shift + CMD + 3/4/5 = Screenshot to clipboard

They do by default, but you can make it start sending to clipboard. I find that a bit more convenient for many uses. Evidently, if I use the 5 version instead of 4, it gives you the option again. Not shockingly, I typically use 4...