Oh good lord, yes.
List of lost films (Wikipedia)
The Scorsese Film Foundation estimates that more than 90% of American films made before 1929 are totally lost. The Library of Congress estimates that 75% of all silent films are lost. Overall, 50% of American sound films made before 1950 are considered lost films. (film preservation)
Films may go missing for a variety of reasons. The big culprit is the use of nitrate film until the early 1950s. Nitrate films are highly flammable, and will decay into a powder or sticky goo that can spontaneously combust in the storage-shed conditions they were commonly stored. A fire destroyed the entire vault of pre-1935 negatives at Fox Pictures, and a fire in 1967 decimated MGM's early content. Kodak introduced a nonflammable film in 1909, but chemicals used to keep it pliable evaporated too quickly, making the film dry and brittle.
Until the preservationist movement fully kicked in, as much as half the 400,000 short sponsored films made in the US were lost, often thought of as simply disposable, or older versions were disposed of once upgraded. These are typically films made for educational, training, or religious purposes that were popular from the '40s through the 1970s. Many silent films were also simply discarded as "useless" once talkies took over entirely.
Most mainstream movies from the 1950s through today survive due to increased preservation efforts and more stable media, but even today films are lost.
Some of Jackie Chan's and Sammo Hung's first roles, including Big and Little Wong Tin Bar, have been considered lost. Ed Wood's 1972 film, The Undergraduate, has been lost along with his 1970 film, Take It Out In Trade, which exists only in fragments without sound. Most of Andy Milligan's early films made between 1965 and 1988 are considered lost. Many adult films and low-budget B-Movies go unnoticed until the participants become notable, then many of their early works are simply gone.
Lost films are anything in which no part of a print is known to have survived. That does not include the much larger category of incomplete films where only bits and pieces remain.