Yes!

Oxygen sticks to the heme group (specifically to an iron atom in that part of the molecule), so this oxygen is no longer free to diffuse back out of the cell. This causes the cell to accumulate a higher concentration inside the cell, rather than an equal concentration inside and outside.

The hemoglobin causes a new equilibrium to be formed (equal oxygen entering and leaving), but under these circumstances the equilibrium concentration is higher inside compared to outside the cell.