No, although you can achieve that result by using Revert to Published on each project item.

It is easy to think of the project as a "thing" that gets published, and that you therefore should be able to unpublish it as well. In reality, the project is just a container of content items that you can publish at the same time. This means that you don't publish the project itself, you multi-publish the items in the project.

Just to clarify: "using Revert to Published on each project item" isn't strictly true. You need to Republish another version of the item by using the Versions gadget. Or, if the project item was created from scratch and no previously published version exists, you need to unpublish it by deleting it or setting it to expired.