Yeah, they do. Especially when you're going through puberty and/or if you've been raised in such a way that you didn't learn or talk much about sexuality so that you won't necessarily have the frame of reference that you might ideally have.
Lots of people think they might be gay because they really are gay, or bi, or even trans, but then decide they'd rather live as straight or at least tell people they're straight, and maybe that's how they really feel. (I'm of the camp that thinks sexuality can be fluid for some people, but that's another topic.) And plenty of people go through feeling like they might be gay because they might have strong feelings for one particular person or another, not necessarily sexual or romantic, but strong enough that they wonder if there's something else at work.