Yes; to the point that when in 1944 it was proposed to defend against V-2s by using radar and flash-spotting launch warnings to have every heavy AA battery around London fire an intense barrage, in the hope of damaging the incoming missile, it was pointed out that the mass of falling shell splinters would on average kill and wound more civilians than the missile would have, even if they did stop it detonating properly.

One of the reasons for getting civilians off the streets and under at least some cover during air raids was to protect them from the falling fragments of AA fire. Can't defy Newton, unfortunately: whatever goes up, is coming back down somewhere at terminal velocity.

AA fire is worth doing, but it's not risk-free. (Back in 1986 after ELDORADO CANYON, Libyan news were boastfully showing off the "American aircraft" they'd shot down that had smashed into a house... except it was the booster motor for one of their own SA-2 SAMs)