Of course not ... but I am told it works even if you don't believe in it.
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Source, in full
Reply to a visitor to his home in Tisvilde who asked him if he really believed a horseshoe above his door brought him luck, as quoted in Inward Bound : Of Matter and Forces in the Physical World (1986) by Abraham Pais, p. 210
Notes from Wikiquote
In most published accounts of this anecdote such was Bohr's reply to his friend, but in one early account, in The Interaction Between Science and Philosophy (1974) by Samuel Sambursky, p. 357, Bohr was at a friend's house and asked "Do you really believe in this?" to which his friend replied "Oh, I don't believe in it. But I am told it works even if you don't believe in it." | In his book Physics and Beyond, Werner Heisenberg presented the anecdote as one that Bohr had recounted about a neighbor, writing on p. 92: 'Niels closed the conversation with one of those stories he liked to tell on such occasions: "One of our neighbors in Tisvilde once fixed a horseshoe over the door to his house. When a mutual acquaintance asked him, 'But are you really superstitious? Do you honestly believe that this horseshoe will bring you luck?' he replied, 'Of course not; but they say it helps even if you don't believe in it.'"' | Possibly originated by Samuel Goudsmit
Variants
No, but I'm told it works even if you don't believe in it.