Do All Drupal themes support subtheming? I heard that only some themes can have a subtheme.
Is this true?
No, of course it isn't true. All themes can be subthemed. Subtheming is a part of Drupal's core and themes cannot simply turn it down. You can always create a theme, name it's parent theme and override some CSS.

Fun starts when you want to override things from template.php, or if parent theme provides advanced configuration - not all themes are built in a way that makes subtheming easy. But even if it's not easy, it's not really blocked.