Yup, it can happen. Lithium Ion batteries in most cases use cobalt oxide, which if heated beyond 140degrees F can result in "thermal runaway" where the material begins to oxidize and provide massive amounts of fuel and heat, often sparking a fire. Once the chemical reaches the thermal runaway point, it begins to self heat ... it can be very dangerious. Not so much with cell phone batteries, but for larger laptop batteries the individual cells can explode as the heat and pressure rupture the casing, which of course, spreads the fire to the next cell in the battery making the fire hotter and more intense.
All unlikley to happen of course. Unless you damage the battery, or short out its contacts, or otherwise abuse the battery (like subjecting it to very hot temps) then this really isn't a worry.