Yes, you can. Go to the call+SMS filter app > select advanced > turn on Block withheld numbers.
- How can I increase my Lumia phone’s memory?
- Can I move or save apps to my memory card on my Lumia phone?
- Does the alarm clock work when my Lumia phone is switched off?
- After updating to Lumia Cyan, my calendar app shows time in 12 hour format. What can I do?
- How can I check the IMEI number of my Lumia phone?