Yes, but the package needs to be built with either Pthreads (POSIX Threads) or OpenMP support. To do so, you need to make sure that one of the following options is present in your cmake configure command.
-DENABLE_ECCODES_THREADS=ON
-DENABLE_ECCODES_OMP_THREADS=ON
These options are mutually exclusive.
Note: there are known thread safety issues when GRIB multi-field support is enabled.