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Yes, they can!

Unlike jet engines, which need an air intake to create thrust, rockets bring their own air supply along with them into space, in the form of a liquid or a solid oxydizer. This means their engines can keep producing thrust, even in the airless vacuum of space.

However, it may be interestingto note that in space, you don't need to keep your engines burning. Since there is no air to slow rockets down, all you need to do is push yourself in the right direction, and you'll keep going until something stops you. This is Newton's first law of motion.