If each pod in your StatefulSet requires its down PV, you should be creating your StatefulSet using a volumeClaimTemplates section, as shown in the documentation:
For each VolumeClaimTemplate entry defined in a StatefulSet, each Pod receives one PersistentVolumeClaim. In the nginx example above, each Pod receives a single PersistentVolume with a StorageClass of my-storage-class and 1 Gib of provisioned storage. If no StorageClass is specified, then the default StorageClass will be used. When a Pod is (re)scheduled onto a node, its volumeMounts mount the PersistentVolumes associated with its PersistentVolume Claims. Note that, the PersistentVolumes associated with the Pods' PersistentVolume Claims are not deleted when the Pods, or StatefulSet are deleted. This must be done manually.
So if you create a StatefulSet like this:
apiVersion: apps/v1
kind: StatefulSet
metadata:
  name: example
spec:
  replicas: 3
  template:
    spec:
      containers:
        - name: whoami
          image: docker.io/containous/whoami:latest
          ports:
            - name: http
              containerPort: 80
  volumeClaimTemplates:
    - metadata:
        name: data
      spec:
        accessModes:
          - ReadWriteOnce
        resources:
          requests:
            storage: 1Gi
Then you'll end up with three pods:
$ kubectl get pods
NAME                   READY   STATUS    RESTARTS   AGE
example-0              1/1     Running   0          78s
example-1              1/1     Running   0          73s
example-2              1/1     Running   0          68s
And three PVCs:
$ kubectl get pvc
NAME             STATUS   VOLUME                                     CAPACITY   ACCESS MODES   STORAGECLASS   AGE
data-example-0   Bound    pvc-b31c564d-65fb-43ef-af5d-64faeaae6897   1Gi        RWO            standard       53s
data-example-1   Bound    pvc-28f83158-d10d-450b-a723-954fc113eb92   1Gi        RWO            standard       48s
data-example-2   Bound    pvc-55ae7f94-7ea9-4690-9e27-01e8a09cc3da   1Gi        RWO            standard       43s
Each one linked to a specific pod.