It is most likely dyed. 
I hate to say I fell for a leather finger (sinularia) coral at my LFS that the guy says is unique and non dyed. It was neon pink like that as well. Well I brought the coral home and thought that it was strange that the bag of water that the coral was in was a slight pink color. I proceded to drip acclimate the coral in a bucket (bucket water was pink also) and put it into the refugium. I left it alone for a couple of days and started to notice that the coral was fallling apart, saw small pieces around it here and there. I decided to get it out quick. Good thing I turned off the return from fuge to main tank, cause the thing melted away (like bread sittin in water) and had a horrible fowl smell. I had to drain my fuge of water and get that thing out. 
Then not so long ago I read an article about corals being dyed to disguise corals in poor health, faded colors, tissue damage, etc. I can't remember where I read it or what the article is called.