Yes, but ...
Further searching has led me to a few discoveries.
In a previous question about Macau, Ankur tells us about one hostel, Augusters Lodge there that had to close down.
Then I found an article on About.com, Top Three Macau Hostels by Rory Boland. It's obviously not up-to-date as it lists the aforementioned former hostel, but also two more:
- San Va Hospedaria
Address: 67 Rua Da Felicidade
- Ole London Hotel
Address: 4-6 Praca de Ponte e Horta
Then somehow I managed to stumble across the two official Macao hostels via Lonely Planet:
However, LP has this to say about the former:
This beachside hostel under the government’s Education and Youth Affairs Bureau is excellent value, but you need to book three months in advance and show an International Youth Card or International Youth Hostel Card upon check-in.
I also can't seem to find the official site via the link LP gives.
Looking back over the list it seems that San Va Hospedaria might come closest to what I think of as a hostel. It seems to be listed variously as a hotel, hostel, hospedaria, etc. It seems to be very quirky but cheap and has very mixed reviews on TripAdvisor. Here's its homepage.