Yes they did, they had wheeled toys. They just didn't have a use for the wheel for transportation because of poor terrain, lack of pneumatic tires, and a lack of beasts of burden.

Everyone gets caught up in the wheel thing, but how many people have tried rolling a non-pneumatic tire loaded with weight up mountains or even just across broken terrain? We still got people carrying fridges and shit on their back up mountains in Nepal because wheels are still not useful on that terrain. Not to mention something we think of as old like the wagon wheel is the culmination of over 1000 years of innovation.