Yes, that's possible using database sessions. You need to create a database table:
CREATE TABLE cake_sessions (
id varchar(255) NOT NULL default '',
data text,
expires int(11) default NULL,
PRIMARY KEY (id)
);
And in core.php (CakePHP 2.x) set:
// Location /app/Config/core.php
Configure::write('Session', array(
'defaults' => 'database'
));
On CakePHP 1.3, set:
// Location /app/config/core.php
Configure::write('Session.save', 'database');