It depends. As noted by TVP, rolling after heat treat (the typical "aerospace" practice, along with using a UNJ thread form) will improve relative fatigue lives, largely due to imparting a residual compressive surface stress that must be overcome before a fatigue crack can inititate/propagate. Heat treat after thread roll will remove those beneficial residual compressive stresses.
If achieving the ultimate attainable fatigue life is not the overriding consideration, then many of the benefits of thread rolling can be obtained by rolling the threads prior to heat treatment (the most common "commercial" fastener practice) without incurring the expense of rolling the material in the heat treated condition, which is typically a job for someone with aerospace threadrolling experience and is more difficult to do with generating unacceptable defects (and is one of the reasons that those aerospace fasteners cost so darn much). Check with your threadroller first to see if he has the experience and equipment to roll material in the heat-treated condition if you decide to have the material rolled in the heat-treated condition.