Yes, you do. Investors do have to report dividends as taxable income even if they reinvest them to buy more shares.
You could get a dividend check but you chose to reinvest your earnings. It's like interest on a savings account. It just gets deposited to your account. Even though all shareholders have a right to receive that cash, some companies allow you to have the cash automatically reinvested into new shares of stock.
The good news is you won't have to pay taxes on the amount re-invested when you sell your stock.
Related information: Where do I enter my 1099-DIV?