Yes, they definitely do. My late OH had a cat that he had an unhealthy relationship with. He loved her more than me (and she knew it, the old baggage, she hated me as I was the "other woman"). She sat on his shoulder, shared his plate, slept on his pillow (he slept in the gap between the pillows, I slept on the edge of the bed). The day he died was the last day she went into the bedroom. I took her in once to see what she would do and she was out of there like a flash. She disappeared into the bushes and pined, we managed to get her out and the vet said if she wanted to pine away she would, but he put her on HRT for cats, and that revived her and she then became a sort of family cat, though she still hated me, and survived another couple of years - to the grand old age of 18.