In the present article, we introduce the relativistic Cholesky-decomposed density (CDD) matrix second-order Møller-Plesset perturbation theory (MP2) energies. The working equations are formulated in terms of the usual intermediates of MP2 when employing the resolution-of-the-identity approximation (RI) for two-electron integrals. Those intermediates are obtained by substituting the occupied and virtual quaternion pseudo-density matrices of our previously proposed two-component (2C) atomic orbital-based MP2 (Helmich-Paris et al., 2016) by the corresponding pivoted quaternion Cholesky factors. While working within the Kramers-restricted formalism, we obtain a formal spin-orbit overhead of 16 and 28 for the Coulomb and exchange contribution to the 2C MP2 correlation energy, respectively, compared to a non-relativistic (NR) spin-free CDD-MP2 implementation. This compact quaternion formulation could also be easily explored in any other algorithm to compute the 2C MP2 energy. The quaternion Cholesky factors become sparse for large molecules and, with a block-wise screening, block sparse-matrix multiplication algorithm, we observed an effective quadratic scaling of the total wall time for heavy-element containing linear molecules with increasing system size. The total run time for both NR and 2C calculations was dominated by the contraction to the exchange energy. We have also investigated a bulky Te-containing supramolecular complex. For such bulky, three-dimensionally extended molecules the present screening scheme has a much larger prefactor and is less effective.