Not necessarily. White/blue mold on the surface of the cheese generally indicate that it has been exposed to oxygen or moisture and the cheese can often still be enjoyed after removing the affected area. Hard and semi-hard aged cheese like Cheddar and Parmigiano Reggiano can develop such molds if they are not stored properly or if they are not fresh. In such cases, remove the affected area from the surface of the cheese by scraping it off with a knife, and enjoy the rest.
Some cheese have natural white and blue mold on their rind from their maturing process. Others have veins of blue mold inside them, like Blue Stilton, which are specially made like that for a unique flavour. These types of cheeses are perfectly edible and incredibly delicious.
Black/red/pink mold are rare and usually indicate that the cheese has spoiled. If your cheese develops these kinds of mold, please do not consume it.