Yes & No.
If your looking for something like a Notification Center notification, then no. However there is a menu bar item you can add and settings attributed to it that are visual aides that you can see if someone is remotely managing your computer.
System Preferences > Sharing > Check 'Remote Management' > Computer Settings... > Click on Show Remote Management status in menu bar
Now the Remote Management icon will display in your menu bar. They icon image will alter based on it's current state (i.e., if someone is connected or sharing screen etc)
In terms of a Notification Center notification, as far as I know, it's not possible with the shipped OS. 3rd Party Apps might be available for your desired feature.