Well can they?
You can assign a "footstep" sound to a frame of a view. This doesn't have to be a footstep, though.
if you mean that the sound volume depends on how close they are to the player character, then there is no comman, but I used this script to produce the effect:
#define MIN_VOLUME 0
#define MAX_VOLUME 255
#define MAX_DISTANCE 160
int volume = 0;
function room_b() {
// script for room: Repeatedly execute
int PC = GetPlayerCharacter ();
int dx = character [GUARD_CHAR].x - character [PC].x;
if (dx < 0) { dx = -dx; }
int distance = MAX_DISTANCE - dx;
int vol = MIN_VOLUME;
if (distance > 0)
{
vol += distance * (MAX_VOLUME - MIN_VOLUME) / MAX_DISTANCE;
}
if (volume != vol)
{
volume = vol;
SetSoundVolume (volume);
}
if (IsSoundPlaying () <= 0) { PlaySound (97); }
}