Yes. If an employee is eligible for automatic enrolment, you must still enrol them even if they have told you (informally) that they do not want to join the pension.
Under auto-enrolment rules, an employee can only opt out after they have been enrolled and received their enrolment information. This means you should:
Enrol the employee as usual (via your enrolment process/file).
Wait for the employee to receive their enrolment communications.
The employee can then opt out by completing the formal opt-out process.
If you do not enrol an eligible employee because they said they want to opt out, this can put you at risk of non-compliance.