I've had between a dozen and two dozen music students over the years. (Guitar and bass guitar.) Some of them started out having trouble telling the difference between ascending and descending intervals. (In other words, some of them had bad ears.) All of them improved, and all of them, with practice, were able to hear me play something and play it back by ear. I'm sure there are some people who are neurologically unable to do this, but in general, it is a learnable skill.

The cognitive fun! website has a musical interval exercise.

Edit: One disadvantage to that exercise/game for people who aren't already familiar with the intervals is that it doesn't have you differentiate between major and minor intervals. (So if you select e.g. 2 and 8 as your intervals, you'll be hearing three different intervals, because some of the 2nds will be minor rather than major.) Sooner or later I'll write my own interval game!