Why yes or why not?
There's no single true definition of what a functional language is (or for that matter, what a procedural or object-oriented one is).
But I can't really think of much that points to SQL being functional. It doesn't have functions, it doesn't have recursion, it doesn't have closures, it doesn't have nested functions, it doesn't have functions as first-class types.
A more commonly asked question is whether SQL is a programming language at all. It's not turing-complete.