Yes. Some ammo is loaded with copper-plated steel-jacketed bullets instead of the more common (in the US) copper- (actually gilding metal, a copper/zinc alloy) jacketed bullets. Many gun ranges do not allow bullets with steel content to be fired, as it can damage backstops and can spark when hitting rocks or cement, causing fires. Also, never shoot steel-jacketed bullets at steel targets. There have been several injuries reported due to ricochets caused by firing steel-jacketed bullets at close-in metal targets. Beyond 100 yards, there should be no danger to the shooter, but care should be taken that no one else is within a 100 yard radius of the targets.
If you are unsure about your bullets, you can use the same test many gun ranges use: the magnet test. A strong pull on the magnet usually indicates a steel jacket, while a lighter pull indicates a steel core with a gilding-metal jacket.
Sellier & Bellot (S&B) and all Russian-made ammo, with the exception of some Wolf-brand loadings, use steel-jacketed bullets.
Opinion: Sellier & Bellot has increasingly been causing "Kabooms" (kB!s)--causing rifles to explode because of weak casings and poor quality control. You may wish to avoid this ammo.