They do, and a lot of great philosophers have thought about it. Descartes famously said "I think, therefore I am" and his work is dedicated on constructing a rational explanation of how reality works by abandoning even the most basic assumptions that philosophers before him took for granted. That quote basically says that the only thing we can be certain of is that since we are thinking, then we must exist, as we are doing that thinking.

Another weird philosophy branch in that area is called solipsism, which makes the unprovable (but also undisprovable) claim that everything we perceive is just our imagination, our brains playing illusions on us. Clearly the brain interprets the world by electrochemical stimulation coming from our senses. So if it were possible to send a brain in a jar the same signals your brain is currently receiving, then the brain in a jar would basically be perceiving the same "reality" you currently are, rather than its own (sitting in that jar).

If you really want to go down that hole, you should also check out the concept of Boltzmann brains.