Yes. Any member can make a folder they can edit private: right-click it and choose Make private. Then:
- nobody else can open it, not even workspace owners or admins;
- admins can see that the folder exists, and can choose Make shared again if it's needed;
- it stays private if you leave the company, and only owners and admins can then reopen it.
You can't make a folder private if an admin has already limited it. Private folders exist only in workspace vaults: your personal vaults are private already.