Assuming that this a a qualified pension, the plan is required to provide you with a statement describing your rollover options unless you waive that obligation. Among the options are to take a distribution, subject to tax and early-distribution penalty on the taxable amount (the entire amount unless you have made after-tax payments into the pension plan), roll the money over to another retirement account like a traditional IRA (nontaxable) or a Roth IRA (taxable, but not subject to an early-distribution penalty), or some combination of keeping some and rolling over some.
Choosing not to roll the money over and paying the early-distribution penalty is usually not the best long-term financial decision.
