Yes, if you received a Form 1099-Q reporting a total distribution from the Coverdell ESA, then you have to report it on your tax return.
The 1099-Q interview will ask whether you did a conversion (roll-over) to another qualified education savings account (e.g. state 529 plan).
"Did you roll over or transfer all or part of this distribution of within 60 days to another qualified tuition program?"See: 1099Q, Distribution Transfer
