No, there's no central nervous system of any kind. These guys have a very simple nervous system called a nerve net, which is just what it sounds like. Sensory receptors connect to other neurons which can spread the signal around, but ultimately the signal goes straight to the muscles without ever passing through a processing center or anything analogous to a brain.
Cnidarians can do some interesting stuff without brains though. Box jellies have image forming eyes and seem to be able to distinguish between different images and some anemones have shown evidence of "learning."