As Roger says - yes you can use assets for this then create a links page, then use permissions to only allow site members to access that page. Though to be proper you'd want to also alter the permissions for each asset so that non-members couldn't see them even if they knew the URL.

A simpler approach could be to use the Our Files app. Enable it from the Applications tab in Content Management. You can create a folder in there for member documents then grant the permissions as appropriate. This is easier than uploading each file and creating individual links to them!

(or change permissions on the entire Our Files app and it won't appear at all to non-members)

Thanks

Joe