Um--as far as I know, yes. Perhaps coastal dwellers say it differently, but I've always heard, for ex., "We were at the beach when you tried to call us", meaning literally on the sand, or in the water, or at a concession stand--whatever's there in the area. On the beach would be very specific, I think...maybe as in, "Thank goodness we were on the beach when the big shark swam by". I've never heard anyone say in the beach.