Sure, I’ve heard of auditory and tactile illusions. I think our sense of taste and smell are dull enough that they’d be a bit harder to fool.
Wikipedia describes some specific auditory and tactile illusions, like the Shepard Illusion (auditory):
A Shepard tone, named after Roger Shepard, is a sound consisting of a superposition of sine waves separated by octaves. When played with the base pitch of the tone moving upwards or downwards, it is referred to as the Shepard scale. This creates the auditory illusion of a tone that continually ascends or descends in pitch, yet which ultimately seems to get no higher or lower.
and the Thermal Grill Illusion (tactile):
The thermal grill illusion is a sensory illusion originally demonstrated in 1896 by T. Thunberg.[1] The illusion is created by an interlaced grill of warm (e.g., 40°C) and cool (20°C) bars. When someone presses a hand against the grill, he or she experiences the illusion of burning heat. But if the person presses against only a cool bar, only coolness is experienced; if the person presses against only a warm bar, only warmth is experienced.