“No, but we do have pianos and guitars.” is one way Mormons might respond to this question. Or Mormons might say “Yes, just feel my head right here” and invite the questioner to touch some part of their scalp. They would then ask “Do you feel anything?”
“Not even a little stupid?”
But in all seriousness, I searched for a whole five minutes online and I couldn’t find out where the idea that Mormons have horns originated. I’m not even sure anyone outside of Mormons have ever heard of this. It could be an urban legend that gets passed around within Mormon circles and in reality nobody has ever claimed Mormons have horns. But I have no clue, do you?
One other question, if Mormons do indeed have horns, does that mean if you have horns you’re a Mormon?