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Yes, they can. If you execute a contract without knowing that it was a scam site, then they can steal your funds.
They can do it even if I use hardware wallet like Ledger? For examle, I connect Ledger to MetaMask and then execute a scam contract via Ledger. Or I connect Ledger to a scam site directly and do the same thing. That's mean I give scammers access to all my funds in my wallet and they can steal money without any confirmation of transactions?