The short answer is yes. They do, and it's nothing new and nothing that can really be fully protected against. The nature of how a brick structure is built makes it possible, through tiny little holes and drain canals, for water to penetrate such wall. However as a home owner, it's not something you should lose sleep over. This phenomenon has been known to builders for centuries, yet a brick wall is still one of the most popular mode of building a house , and many houses last centuries in great conditions.
There are a few proven ways that help direct the moisture that penetrates brick walls out and away from the internal structure of the house. One of the modern techniques is to install a waterproof membrane and redirect water to the exterior of the brick wall with weep holes. Weep holes are small holes usually on the bottom of the brick line, often where brick wall connects with other structure. Whether building a new house, or inspecting an existing one for a purchase, it's important to pay attention to these often omitted elements.