Yes they do. But you need a sufficiently powerful one to be able to circulate the air in the room enough times per hour, more that the circulation that occurs through the doors, windows and even walls.

Eco-rated houses have a circulation of about 2-3 times per hour. Older houses that are well insulated are about 5-6 times per hour. The purifier needs to be powerfull enough to spin the entire air volume couple of times faster than the natural circulation.

If your windows and doors leak too much, or if you open them too much, or if you burn oil / light up cigars too much and produce smoke then it might be pointless.

I live in one of the cities where the pollution is regularly at the top 10 in the world, and the unit I have is able to reduce the pollution inside to a level that is 5-6 times lower than outside if it runs constantly in a mode that is like 30% of the power. It could do better, but it would be too loud for me.