For example if you hold an F1 visa and you want to study abroad (Australia for example) for one semester ?
Based on the information here, it looks like the answer is yes if you stay 5 months or less. The US doesn't care if you have an Australian visa.
However, you need to get the approval of the designated school official (DSO) who will endorse your I-20 for travel, and make sure your SEVIS record is up-to-date.
You also need to make sure that your original entry visa is still valid, or obtain a new one to re-enter the US. Simply being in F-1 status is not enough.
Your passport (depending on its country of origin) should also be valid for at least 6 months when you re-enter the US.