Of course. Landlords select tenants who are more likely to pay their bills and not run a meth lab -- with a better credit score, less debt, no criminal record, that sort of thing.
When it can take many months to evict a tenant who stops paying their bills, all of which is lost income plus then the cost of finding a new tenant, minimizing the probability of that is a landlord's top priority. Frankly, they'd be insane not to.
It's pretty standard to require a year or two of the first couple pages of your tax returns, and 2-3 months of bank statements, to prove your income as well, since standard background/credit checks don't have that.
Why, where do you live? Do landlords not require all this there?