Absolutely. While the likelihood of recovering a stolen bike can often be quite low, it's even lower when not reported. It should be reported to the police, who will log it into their database. Should the bike ever be recovered, they will know its owner and reunite you with your steed.
If you've not already had your bike stolen, then the first thing we'd recommend doing is noting down the frame's serial number, as this is unique to each bike. Then, if the bike is ever stolen, you can provide this serial number to the police and give them concrete proof that the bike belongs to you.
It's common practice for a bike shop to attach the serial number to any bike transaction. Therefore, if your bike has already been stolen and you didn't write it down yourself, check your receipt. If that's lost, contact the shop where you bought the bike, they may be able to help.