Short answer:
No, but they can still be spiritually dangerous.
Long answer:
I spent a long time living in a community in which dealing with spiritual forces was part of daily life. Several of my friends have had to deal with cursed (or otherwise possessed) objects, as well as warding off witchcraft, exorcisms, removing demons from haunted property, etc.
Out of necessity, people in this community were very, very serious about spiritual protection and avoiding exposing themselves to negative spiritual influences through any means. And they were extremely cautious about accepting any physical gifts, from anyone, unless it was someone whom they knew and trusted, and even then, there were certain types of gifts they would
never accept.
And never once did they express any qualms about receiving files over the Internet. They were happy to accept digital files
even from people they knew were sorcerers. In fact, that was often the
only way they were comfortable communicating with people who had a demonstrated history of black magic.
These people were very perceptive. They could see spiritual forces that are hidden from most people, and could tell very rapidly if they were dealing with a cursed or possessed object. So if they were fine receiving digital files, I don’t think there is anything to worry about.
However, digital files can still be spiritually dangerous even if they don’t contain actual demons or other more neutral spirits that have nevertheless been tasked with annoying you. Certain types of music can infect the psychology with negative influences, such as lust, envy, avarice, or hate. Things like pornographic images or videos can be extremely dangerous, and can even act in the subconsciousness. So they should not be treated with complete nonchalance.
And of course, there is the more mundane risk of your computer getting infected.
But I wouldn’t worry about a demon entering your house through the wires.