Yes, cannoli dip needs to be refrigerated. Cannoli dip is made with cream cheese and mascarpone, both of which are dairy products that should be kept cold.  If you plan to serve the dip within a few hours of making it, you can keep it out at room temperature. But if not, store it in an airtight container in the refrigerator until ready to serve. For best results, use the cannoli dip within 3-4 days of making it. Enjoy!