In this paper, an adaptive mesh refinement technique is developed and analyzed for the non-conforming immersed finite element (IFE) method proposed in [27]. The IFE method was developed for solving the second order elliptic boundary value problem with interfaces across which the coefficient may be discontinuous. The IFE method was based on a triangulation that does not need to fit the interface. One of the key ideas of IFE method is to modify the basis functions so that the natural jump conditions are satisfied across the interface. The IFE method has shown to be order of $O(h^2)$ and $O(h)$ in $L^2$ norm and $H^1$ norm, respectively. In order to develop the adaptive mesh refinement technique, additional priori and posterior error estimations are derived in this paper. Our new a-priori error estimation shows that the generic constant is only linearly proportional to ratio of the diffusion coefficient $\beta^-$ and $\beta^+$, which improves the corresponding result in [27]. We also show that a-posteriori error estimate similar to the one obtained by Bernardi and Verfürth [4] holds for the IFE solutions. Numerical examples support our theoretical results and show that the adaptive mesh refinement strategy is effective for the IFE approximation.