Yes, you can. Go to the call+SMS filter app > select advanced > turn on Block withheld numbers.
- Which Wireless LAN (WiFi) security standards are supported on my Lumia phone?
- How do I install a new keyboard input language in my Lumia phone?
- How do I know if an app or service is using my location info on my Lumia phone?
- Can I play music files from my Lumia phone on my car stereo system?
- Does my Lumia phone use an IP address when it accesses data networks?