The Answer to your question is "YES" you must get it out that too as soon as possible.
Here is why you need to get it out.
1) Their are huge chances of infection in their is any foreign object is inside.
2) While menstruating the uterus
is shedding of the endothelium/ inner layer and it very much venerable to infection.
Please go to hospital and ask them to get it out as soon as possible , please do not try to pull i out your self as their are chances of trauma and making it more venerable for infection.
Hope it helps.