Yes it is and respiratory infections (colds) can easily and quickly turn to pneumonia. He needs to see a vet for antibiotic. Monitor his food intake and make sure he stays warm especially if you are using air conditioning.
So I brought him to the vet today and they gave me some antibiotics for him. I had just assumed it was like a human cold and would eventually go away on its own. He's been eating just like he normally does. And I also have a question about what the vet said. She said it was normal for hedgehogs to sneeze, is this true?