It is best practice to let your employer know if you start your own company. Ideally, you will have already made sure that your business does not break any conditions set out in your contract, meaning you can avoid any potential conflict breaking your agreement might cause.
Nonetheless, for the sake of transparency and out of respect for your employer, it is still for the best to let them know. In all likelihood, they will find out at some point anyway; no doubt the news will be easier to hear from you than from a third party.