You have to report items of income and expense, so yes, you probably do. It is likely a benefit to you to do so. You may find that you are able to take a tax loss on your return for the rental property. Most debt-financed rental properties end up producing tax losses once you factor in the deduction for the tax depreciation on the property. There are limitations, but this loss may offset some of the income you have from other sources--such as your wages--thereby lowering your tax bill.