Yes, but this is not, by definition, a skill challenge. It's a skill check. If you read the section on skill challenges, the whole point is that you make sure every PC has some chance to contribute - and when a PC suggests a skill, you don't block with "no", but guide with "yes, but".
If you're chasing someone across rooftops, the Fighter uses Athletics to join the chase (as do the Paladin and Warlord) or Streetwise to catch up with the target on the ground (as does the Warlock). The Wizard uses Insight to figure out where they're going, or Dungeoneering to help with the climbing - both granting bonuses to other characters' checks. The Ranger and Rogue use Acrobatics, Athletics, Perception, or Stealth - they've got the broadest skill selection, but are still only one person each.
With no one on the ground, the Rogue loses the target the first time he drops out of sight - but the Cleric running along on the street would spot the target who's dropped out of sight into an alley in order to let the Rogue run past. And so on.
Skill challenges, practically by definition, require teamwork. If it doesn't require teamwork, it's probably a skill check. (Although you could certainly have the rogue running a Complexity 1 skill challenge while the rest of the party fight 4/5ths of an encounter - nothing wrong with that, since everybody's busy. In fact, this is a great way to handle traps.)