Yes, you can. Go to the call+SMS filter app > select advanced > turn on Block withheld numbers.
- Do I need to set my date and time every time I remove the battery in my Lumia phone?
- The person I am calling on my Lumia cannot hear me
- Can I transfer the messages and contacts to a file on my Lumia phone?
- What can I do if the screen on my Lumia will no longer rotate?
- Can I get a notification if I receive call or text messages from blocked numbers?