Yep, it is possible.
If I use
setup(console=['__main__.py'], options={"py2exe":{"includes":["sip"]}})
It creates a console app, however if I use
setup(windows=['__main__.py'], options={"py2exe":{"includes":["sip"]}})
it does not show console on .exe file. But output is dumped on main.exe.log file in the .exe folder. Be careful.