They do, but they are INCREDIBLY uncomfortable. Running 10km with an unbalanced extra weight on one of my arms is torturous to me, to say nothing for the skin issues that I get from one of those bands holding the sweat against me the entire run.
Then, on top of that: slipping down the arm, tan lines, the bouncing of it, snagging it on things, how filthy and disgusting they quickly become, how they're still damp the next day getting ready for a second run...