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.