If you mean this season? Then you can but you only get one piece every other week or so. Bungie's way of hoping you'll miss a piece and then buy it for silver when the season ends.
If you mean the older sets? Yeah that hasn't been a thing for a while. They used to bring back one old set for bright dust a year or so after its relevant season. I missed the Lux set which looks like the best overall set for the Hunter and was waiting for it to come back for Bright Dust but it never did. I ain't paying real money for it.