In theory. I've heard many unscientific anecdotes of CPUs being killed this way. My understanding is that in a liquid cooling system without flow, or with no cooling system attached at all, delta-temp over delta-t is so high that the thermal cutoff circuits might not react fast enough before other parts of the chip have been damaged - especially if the chip is under load at the moment of failure.
On the other hand, a heatsink provides a decent amount of passive cooling all by itself, so when the fan fails there's a buffer that slows the rate of heating to a safe margin.