Yes you can sleep without a pillow if you prefer to do so.
But I find it much more comfortable to sleep with my head on a pillow instead of just laying my head directly on the bed.
I get much better sleep with my head raised up and resting on a pillow and I tried sleeping without a pillow before and it was not very comfortable.
Babies sleep without pillows in their cribs because they could die if they had pillows or soft objects in their crib with them until they are 1 year and above.
So an adult can sleep without a pillow if they are more comfortable without it but I prefer the comfort of a pillow.