Rarely. Benign cysts are very common, but they are seldom cancerous. Nonetheless, it is important to check to make sure it is a cyst and not something else. Many women get what are called cyclical lumps, or lumps that appear sometime before the start of the menstrual cycle, and later shrink or disappear. Cyclical lumps are generally harmless, but they should also be monitored. Pay attention to them and be sure to check in with your healthcare provider.
Never assume that a new lump or abnormality is a cyst just because you have had cysts on the past. You should always check in with your doctor to make sure it is not something else.