Yes — sometimes cars have small lights on the side between the front and back doors. These are called side marker lights or sidelights.
Imagine a little night-light on the car. The lights help people see the car when it is dark. Car makers put them where they are safe and where the rules say they can go.
If you see a light on the side of a car, it is there to help people see. Never touch car lights—ask a grown-up to look at them for you.