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No, it's not and it does not make a lot of sense.

This is usually called "hotlink protection" and the way people implement it is by adding a bit of .htaccess code which checks that the HTTP Referer header's content matches the URL to your site. This is a very weak protection; someone can of course download the file by spoofing the HTTP header. It also causes problems. You cannot access these files if your site can be accessed from multiple subdomains or domains e.g. www and non-www version of your domain, HTTP and HTTPS, or different subdomains and domains such as in the case of WordPress multisite installations. You cannot access these files if the browser does not send an HTTP Referer header as is the case with rel=noreferer links or browsers with a high degree of privacy enabled. You cannot share these files on social media; they need to download the files to generate previews. Search engines cannot index the files either. In many cases you cannot access the files using JavaScript (XMLHttpRequest or Fetch) which can make third party plugins relying on such JavaScript fail.

In the end of the day, this was a reasonable thing to do 20 years ago when servers had a ridiculously low bandwidth limit measured in the few tens of Megabytes per month and the entire web was very much static content. It no longer makes any sense at best, typically it's actively harmful to your site.

If you are truly worried about file access you should use a download manager with an off-site folder holding the uploads. Instead of accessing the files directly, your users will have to log in to get access to a download link. That's, for example, what we do for our Professional editions' downloads (albeit in Joomla, so our solution isn't available for your WordPress site, sorry). The downside to using a Download manager is that bigger files, in the order of dozens to hundreds of MiB, might fail to download as the entirety of the file has to be downloaded through PHP.

You need to consider your use case and decide if it makes sense to limit access to files.