Of course we do!
Believe it or not, this is an actual question which has been asked to me several times.
I wonder how anyone could imagine some Catalan-speaking (or Danish or whatever) parents living in Catalonia (or Denmark or wherever) and not speaking Catalan (or Danish or whatever) to their children. Is it not most natural that parents talk to their children in their common language?
Just to make things clear, let me say that my children read books and magazines in Catalan, watch TV in Catalan and so on, because Catalan is their own tongue, as it is mine and my wife's. Since they also know Spanish and English rather well, they also read books in these languages and use them to communicate with their Spanish speaking and English speaking friends. But I don't speak English or Spanish (or Danish or anything else) to my children...