Yes, but the Atlantic sits at 18 °C — about the same as a cool English pool. Most visitors swim in heated complex pools or natural pools on calm south-coast days. Lifeguards are off duty until mid-June. North-coast pools (Porto Moniz, Seixal) often close on Atlantic swells.
Sea-surface temperature around Madeira bottoms out in February and March at roughly 18 °C. That's swimmable for cold-water regulars and fine for a quick dip on a sunny south-coast day, but most tourists prefer the heated complex pools at Lido or Doca do Cavacas, both in Funchal.
Wind and swell matter more than temperature. South-coast spots (Funchal, Câmara de Lobos, Calheta) stay calm most of the winter. The north coast is exposed to Atlantic groundswell — Porto Moniz and Seixal natural pools often close for safety on bigger days. Check the live sea state before driving over.
Pack a 2 mm shorty if you plan to spend more than 15 minutes in the water; locals don't bother for a quick swim, but visiting Northern Europeans usually find it noticeably colder than expected.