yup. it happens all the time in florida. we also have seemingly spontaneous ENTIRE FORESTS catching on fire though, so if you don't have that where you live your mulch might be safer.
i once saw some mulch catch fire in a
concrete parking lot. it was a small, low burning fire, but when i put it out i couldn't find the cigarette filter. was it spontaneous? who knows?
generally this is only a problem if it hasn't rained in about a month with steadily warmish temperatures. not too often.