This may be a duplicate, but I couldn't find it yet.
My attempt is to write $\cos\alpha = p/q$ and $\sin\alpha = j/k$, where $p,q,j,k \in \mathbb Z$ and $|p|\le|q|,\ |j|\le|k|$, then $$ \frac{p^2}{q^2} + \frac{j^2}{k^2} = 1 \implies k^2p^2+q^2j^2 = q^2k^2 $$ and the question becomes are there any integrers that satisfy the last equation. But to procede it may require some knowledge in number theory which I lack.
Yes, any angle of a Pythagorean triangle satisfies this. For example, there is a 3-4-5 triangle; one of its acute angles satisfies $\cos \alpha=4/5$ and $\sin \alpha=3/5$.