Become a MacRumors Supporter for $50/year with no ads, ability to filter front page stories, and private forums.
Not without additional software. You can, however, create a password-protected Disk Image using Disk Utility, which will provide the same basic service.

Launch Disk Utility (Applications:Utilities😀isk Utility)

Click "New Image" from the tool bar.

Set the name, size, encryption settings.

Click "Create"

You'll now have a .dmg file that will require a password each time you open it. Just don't have Keychain store the password.
 
Register on MacRumors! This sidebar will go away, and you'll see fewer ads.