Yes.
There are a lot of functions that satisfy this condition.
We have:
$$\sin(f(x))=-\frac{1}{2}ie^{if(x)}+\frac{1}{2}ie^{-if(x)},$$
$$\cos(f(x))=\frac{1}{2}e^{if(x)}+\frac{1}{2}e^{-if(x)}.$$
We see, the right-hand sides of these formulas differ from each other only in the constants. The antiderivative of a product of a constant factor and a non-constant term is the product of the constant factor and the antiderivative of the non-constant term. If $\sin(f(x))$ has an antiderivative in closed form, $\cos(f(x))$ also has an antiderivative in closed form therefore which differs only in the constant factors - and vice versa. That means $\sin(f(x))$ has an antiderivative in closed form iff $\cos(f(x))$ also has an antiderivative in closed form.
The antiderivative of a sum is the sum of the antiderivatives of its summands. We therefore only need to determine the antiderivatives of $e^{if(x)}$ and $e^{-if(x)}$.
Also for elementary $f(x)$, the antiderivative of $e^{f(x)}$ is often not an elementary function. See e.g. in the references Smith and Conjectures 4 and 5 of Yadav.
Let's use therefore a simple way to find some elementary functions $f(x)$: we set $f(x)=-i\ln(g(x))$ and get $e^{\pm if(x)}=\pm g(x)$.
Because the antiderivatives of $e^{f(x)}$ often are nonelementary integrals, certain Special functions were introduced that are nonelementary antiderivatives of elementary functions. Examples are the following Liouvillian functions: elliptic integrals, logarithmic integrals, error function, Gaussian integrals, Fresnel integrals.
For deciding which kinds of functions can have a closed-form antiderivative, we also have the specialist area Symbolic integration with Liouville's theorem and Risch algorithm for elementary functions and Liouvillian functions.
You can play with functions at Wolfram Alpha.
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[Smith] TR Smith: List of Functions Without Antiderivatives
[Yadav 2012] Yadav, D. K.: A Study of Indefinite Nonintegrable Functions. PhD thesis, Vinoba Bhave University, India, 2012
[Yadav 2016-1] Yadav, D. K.: Six Conjectures in Integral Calculus. 2016
[Yadav 2016-2] Yadav, D. K.: Six Conjectures on Indefinite Nonintegrable Functions or Nonelementary Functions. 2016