Generally speaking, yes it's quite possible that some people are immune to HIV, the trouble is that because they never get infected, people don't really know they contracted it, and then fought it off.

Transmission rates are also not 100%, especially if you're a 'top' the chances of not getting it go down even further, so it's very hard to test against a control. Were somebody to become aware of a possible infection the standard operating procedure would be to start an anti viral regiment as soon as possible to prevent the infection from taking hold, which further reduces the chances to study this possibility.

There have been tidbits of useful data though, such as the Berlin patient which has been mentioned by others.