Yes, but only their oldest needles. According to Iowa State University Extension, evergreen conifers such as pine, spruce, and fir do not keep their needles forever: each autumn the oldest, innermost needles turn yellow or brown and fall off, while the newer needles toward the branch tips stay green. This seasonal needle loss, also called fall needle drop, is normal and needs no treatment.
How noticeable it is depends on the species. White pines and arborvitae shed all of the previous year’s needles at once in fall, so they can look unusually brown for a few weeks; Scots and Austrian pines hold needles for about three years, and firs and spruces keep theirs even longer, so their drop is barely visible. A few conifers, including larch, bald cypress, and dawn redwood, are not evergreen at all and lose every needle each fall. Browning of new growth at the branch tips, or at other times of year, can point to disease or stress instead.
Source: Iowa State University Extension and Outreach: Seasonal Needle Loss
Image: Older eastern white pine needles yellowing in autumn, Chantilly, Virginia, by Famartin, CC BY-SA 4.0, via Wikimedia Commons.