Yes,
It would be good to give your Chihuahua its own personal room, but they often like to sleep with the humans in the household. This is because they instinctually pack animals who enjoy being around their caretaker at night for security reasons. They have a more pronounced "home range" than other breeds, so they don't feel safe when left alone while you're away from home during the day or while sleeping at night. It actually can help relieve anxiety too, if they know that you're near them when feeling threatened on their territory...