Go ahead and report it, because the pension & annuity line on your 1040 calls for gross as well as taxable amounts; the IRS wants to see it in the gross box. Zero in box 2 usually means a 100% non-taxable "direct rollover" (paid directly to the IRA provider); if so, it won't affect your taxes at all. However, if the check was cut to you personally there can be taxes & penalties unless you deposited the GROSS amount of your 401(k)/pension distribution, INCLUDING taxes withheld (generally required unless it's a direct rollover), to your IRA within 60 days of payout.
