Seeing as how I go to college for video game design, and nearly every class I take involves drawing, painting, photoshopping, texturing, and modeling (otherwise known as "art"), I have to go with the "YES!!" option. This is only counting the conceptual side, too. There's still the music, UI, box/CD/cartridge art, promotional posters, text, writing, and voicing to take into consideration! Probably a lot more that I'm forgetting, too.
But seriously, next time you doubt video games as art, pull out Starcraft's manual. The worlds and histories in that game are more developed than most novels, and there's pictures to boot!
Art generally has to be able to evoke some form of emotional or philosophical response in the viewer, too. If you doubt the emotional and philosophical implications of video games, just look at this website.
EDIT: To clear up any further doubt, I present ZEAL from Pixiv.