I'm afraid so - if you're near the coast, it might be alright moved to a very sheltered, sunny spot for winter, but otherwise, yes, it will need to be moved under cover for winter. There are newer varieties of Nerium Oleander which purport to be hardier though, but I've no experience of these, nor whether the claims made for their hardiness are true.

A word of warning though - do not allow any animal or person to chew on it, all parts of this plant are highly toxic if ingested, and the sap on the skin in some people may cause skin irritation.

Definitely bring into shelter for winter, and keep fairly dry.