Yes! But they'd have also encountered plenty of Roman sites that were still is use too. /u/y_sengaku has already linked to my discussion of London, which was probably the most prominent of the Roman ruins visited by marauding Danes in the 9th Century. Roman London (still The City of London today, rather than any of the boroughs of Greater London) was abandoned at some point around the 5th Century, quite likely after a particularly nasty plague outbreak in the 430s, and replaced by the English settlement of Lundenwic about a mile upstream, roughly on the site of today's Covent Garden. The Anglo-Saxon Chronicle tells us that in 883, Alfred of Wessex needed to take his army to defend Lundenwic from a Danish force that had overwintered within the abandoned Roman fortifications nearby; this event may have been the impetus that led to Alfred's reconstruction, expansion and subsequent reoccupation of the Roman defences 3 years later in 886.
London wasn't the only Roman abandoned defensive circuit to shield Danish warriors. A Danish force being chased out of Mercia by the local Fyrd in the 890s took refuge within the ruins of the Roman walls at Chester, where the fyrd lacked the means to pursue, having to content themselves with seizing the Danes' cattle and what loot had been left behind for their return journey. Again, this may have been the impetus for the Mercian repair and reoccupation of Chester in 907, following which its considerable defences became the linchpin of Mercian border defences with the Danelaw. Other Roman defensive circuits were used against the Danes: Rocester, now a small town on the Staffordshire/Derbyshire border had previously been a small Roman way-fortress, whose stone walls survived sufficiently to house a Mercian settlement protected from neighbouring Danes in Derby. Exeter retains its Roman walls to this day, while Rochester's Roman circuit was proved effective in withstanding a Danish siege in 893. The Battle of Cynuit in 878, an important English victory, was also fought at a former Roman signal-fortress in which the English fyrd had temporarily taken refuge when attacked by the Danes.
/u/BRIStoneman discussed the similar question in Does Assassin's Creed: Valhalla accurately depict London?