Maybe. The signs of romantic attraction which Utena displays towards Akio (and during a short time, Touga) is never displayed towards Anthy. It could be that Utena just thinks of Anthy as a close friend. But then again, there are scenes that strongly hint that Utena herself isn't even sure of what her feelings towards Anthy are.
Scene in sreenshot very related.
On the other hand, I believe Anthy did fall in love with Utena, since she reminded her so much of Dios.