Yes, but not enough to make it worthwhile. The added intensity of holding weights while doing cardio does bump your calorie burn slightly, but it can also lead to elbow and shoulder injuries. "The risks outweigh the benefits," says Douglas Brooks, an exercise physiologist in Mammoth Lakes, California. "You'll expend more energy if you increase the weight you carry, but excessive or uncontrolled movements can damage the joints or cause muscle injury."
A better option for blasting extra calories: Increase your speed or resistance level on either the treadmill or the elliptical machine.