Some do and some don't. Crawl under the vehicle, follow the transmission lines to the radiator, and see if there is an secondary cooler anywhere. If it came with the factory towing package it does.
The 2004 Chevrolet Express has a 4-speed automatic.
The 2004 Chevrolet Impala has a 4-speed automatic.
The 2004 Chevrolet Suburban has a 4-speed automatic.
The 2004 Chevrolet Tahoe has a 4-speed automatic.
The 2004 Chevrolet Malibu has a 4-speed automatic.
The 2004 Chevrolet Colorado has a 5-speed manual.
The 2004 Chevrolet Corvette has a 4-speed automatic.
The 2004 Chevrolet Express-Cargo has a 4-speed automatic.
The 2004 Chevrolet Silverado-2500HD has a 5-speed manual.
The 2004 Chevrolet Silverado-1500 has a 5-speed manual.
The heated transmission oil flows through the cooler, and that heat is exchanged to the ambient air which flows through the fins of the cooler. The rapidly cooled fluid returns to the transmission.
It is in the transmission.