Not always. My favorite counter-example is coloring k-colorable graphs. Consider that for some reason (and there could be many), you are guaranteed that all the graphs on input are k-colorable. Still, the input is just a graph without any coloring. Your algorithm is tasked to find a proper coloring using the smallest number of colors.
It is both a problem that has been already studied in terms of approximation and at the same time an optimization problem that has no good decision version, as far as I am aware.