Yes, if you want anonymous visitors to be able to view the blog RSS feed (and click through to the entries), then anonymous users must be able to view it. If you really want to secure the blog contents, you can do that, but only people logged into your site with the proper role will be able to view the feed and entries.
To be specific, in the page settings and the blog module settings, under "Security," "Roles that can view this content", the "All Users" checkbox should be checked.
Jamie