Well... of course, they don't, however one source has this to say about the origin of the legend..."One theory on the origin of this expression is that in ancient times nine was a lucky number because it is the Trinity of Trinities. As cats seem able to escape injury time and time again, this lucky number seemed suited to the cat. While in most countries the cat is said to have nine lives, in Arab and Turkish proverbs poor puss has a mere seven lucky lives and in Russia, is said to-survive nine deaths."