This is not actually wholly true! CMYK is generally used only for pre-press printing.
Wikipedia states - "Prepress is the term used in the printing and publishing industries for the processes and procedures that occur between the procurement of a written manuscript and original artwork, and the manufacture of a printing plate,image carrier, or (traditionally) forme, ready for mounting on a printing press."
Your home printer and most labs prefer RGB images. Even although it may use cmyk inks the image should still be sent in RGB format. The printer software does the work to produce the accurate colours.
Why did you r lab ask for CMYK? Is it for a brochure or something that is being printed in bulk?