Yes.

Imagine you plan to go out with a friend to a cinema and then to the airport for sightseeing. Now, you are at the cinema, enjoying your really good movie and boom, the movie is over. You get up to leave, but your friend is still sitting down (probably trying to understand the plot twist of the really good movie). Say, you try to nudge your friend, telling him to get up, but he still doesn't and makes some silly excuse. Then you could say "Я не понимаю, мы идём?", sarcastically (like ZackP4 said) or not. Lucky it's not the verb "ходи?ть". xD

That would be "Я не знаю". знать = to know, понимать = to understand