Yes. It is a fuzzy plant. When the leaves are dried and rubbed, they have a cottony texture.

Ok Thanks - It just seemed to me that the fuzz was above and beyond what I'd call normal. I saw a daddy longleg sleeping on the sage leaf. It was so cute.
Citypigeon

If the white fuzzy stuff is just small spots hear and there, it could be spiders nests, or worse, a caterpiller of some kind. I would assume that you know the difference that a small insect nest look like. If its a bristly hairy type fuzz on the stems, its sometimes roots that want to see soil. Tomato plants have a hairy stem and these are usually thin roots that will expand once they see soil.

If the fuzz is not evenly spread all along the stem but clumped near the base, it could be a fungus.

If you touch fungus with an earswab it will wipe off, whereas fuzz produced by the plant will not.

If you find out its a fungus, you could try wiping it off with a dilute solution of iodine in water, and watering only when the soil is almost dried out. Sage does best in well drained soil.