Yes. Lots of caterpillars have chemical defence against attack. The most common one to cause a severe reaction are the caterpillars of the buff tip moth. This is a serious pest of fruit trees. Queen Elizabeth the first once offered a reward for dead ones to protect the kentish cherry groves.
How much of a reward? Like lots of pounds? I know that those fluffy little ones used to bring my mate Pete out in a rash when we were kids - were those poisonous?
If memory serves it was a penny a dozen. Most furry caterpillars have irritating hairs that cause rashes (much like the prickly pear) but they may be poisonous if eaten!