Why not? As long as the places are not officially off limits. When I was still living in Ireland, I was exploring abadoned mines, like those around Silvermines, Co. Tipperary (it helped that my father used to be a miner turned geologist), or caves in the Burren area.
There are also groups in Germany which explore old underground buildings.
Check www.schatzsucher.de (in German).
One of my former instructors in the German civil defense was a member of a loose group, which explored old mines in the Harz area (him being a former miner as well).
I was informed at the weekend that one of the more secure locations here in the province has, for years, been accesible to local kiddies who were small enough to enter tunnels associated with it's former use. Apparently it required some kahunas as they're full of water, unlit and extremely small.
The guy who told me was a member of a "gang" when he was a youngster, the entry requirement of which was to enter said establishment covertly and return with "proof".