Yes, but it costs �4 per month.
The service is called 'Anonymous Call Reject'. Anyone who attempts to call you, while withholding their number, will hear a message stating that your number does not accept calls with the caller's number withheld.
If you're expecting a call from someone who's using a system which automatically withholds their number (e.g. from some government offices), you can temporarily switch off the feature by dialling #227# (To turn it on again, dial *227#).
I've got Anonymous Call Reject on my phone. Although I'd rather that it was free, I still think that it's worth the money.
To order the service, dial 0800 800 150.
Chris