Dense retrievers encode texts and map them in an embedding space using pre-trained language models. These embeddings are critical to keep high-dimensional for effectively training dense retrievers, but lead to a high cost of storing index and retrieval. To reduce the embedding dimensions of dense retrieval, this paper proposes a Conditional Autoencoder (ConAE) to compress the high-dimensional embeddings to maintain the same embedding distribution and better recover the ranking features. Our experiments show the effectiveness of ConAE in compressing embeddings by achieving comparable ranking performance with the raw ones, making the retrieval system more efficient. Our further analyses show that ConAE can mitigate the redundancy of the embeddings of dense retrieval with only one linear layer. All codes of this work are available at https://github.com/NEUIR/ConAE.