Of course they are.
This would follow already from the fact that they encompass several traditional forms of art - music, animation, cinematography, manuscript, visual design, (voice) acting - but the interactive dimension, and the "choice" of how to experience all those it give, might well constitute an art form in and of itself.
Just as a choose-your-own-adventure book is still literature (if seldom particularly inspired works of such), adding an interactive element to a digital storyline does not rob it of its status of being a storyline, nor of being able to convey messages and themes just like film or books. Both when the game resemble these by featuring little interactivity [http://www.escapistmagazine.com/forums/read/326.301706-Game-review-Swan-Song], and when it make use of its interactive element as a part of the storyline [http://www.escapistmagazine.com/articles/view/editorials/reviews/5157-Review-Braid] - merging gameplay and story - is there a story present which is told to us, and which we can react to emotionally, interpret, and evaluate on its artistic merit.
Of course, just like Hollywood blockbusters are seldom good works of art, many games aren't so either. Their messages may be trivial and predictable, the visual design uninspired and bland, the story lackluster and filled with incoherences, the music generic, the voice acting flat etc.; None of which means it isn't a cinematographic work of art, merely that it's a bad cinematographic work of art. Art without any serious artistic merit to it, so to speak.