Are there any AREXX viruses?
At least I haven't heard of any in the wild.
I've heard of a "proof of concept" demonstrations on multiview + AREXX combination, though.
Is such a thing possible?
Most certainly. There are several holes in amiga systems that allow execution of embedded AREXX scripts.
One is multiview displaying amigaguide document. You can embed a script that is executed once the document is displayed.
Another is a MUI string formatting code combined with APIPE:, such constructs could be sent via email or embedded to malicious web pages (though most mailers and browsers have been fixed by now).
Both vulnerabilities have been demonstrated successfully. I would imagine the only reason why such viruses don't exist is the very small amiga userbase (and many using their PC to browse and read email anyway).