According to General Relativity, a gravitational force is created by energy (including, but not limited to mass). Therefore the answer is yes, photons gravitationally attract each other in General Relativity. The energy of the photons would bend the spacetime in such a way that the photons would get closer to each other. The fact that light deflects in a curved spacetime has been observed. However, the energy of photons is way too small to curve the spacetime in a measurable way. Therefore the fact that photons attract each other remains a theoretical conclusion of General Relativity and has not been observed in experiment.