Yes—any wheel marketed as "PS3 compatible" works natively. The question usually means one of two things:
Officially licensed / known-compatible models:
Check the box for "PlayStation 3" logo or the manufacturer's compatibility chart.
Used Logitech G27/G29 or Thrustmaster T300RS are the sweet spot for price/performance on PS3. Verify the wheel's firmware is updated via PC before connecting to PS3.