Yes. More specifically, they thought India's east coast would be on the continuous outer ocean that surrounded all three continents. Allegedly, once Alexander reached the Punjab, he repeatedly urged his army on beyond each new river he encountered, thinking the next one would be Okeanos and he would have finally reached the end of Asia. Needless to say, he was disappointed, and was eventually persuaded to turn back.

Even if there had been an outer edge of India within Alexander's reach, though, that wouldn't have meant that he'd have conquered what was known of the world at the time. After all, his holdings in the continents of Europa and Libya (Africa) were slight compared to his conquests in Asia. And while Herodotus already described the extent of Africa and related the story of how Phoenician sailors allegedly sailed all the way around it (though see here for a very insightful post on this by /u/mythoplokos), he did not know where Europa ended, his description of lands northward of Scythia ending in white wastelands populated by cannibals. The notion that Europa had to end in Okeanos was mostly based on a theoretical assumption that the three continents were more or less equal in size. There were vast expanses of land left for Alexander to conquer.