Yes. They are in possession of exactly one pen. But there might be another pen in existence. If there is no other pen nearby, you say "They have the pen." For multiple pens in their possession you could say "They each have a pen."

(removed my comment)

A simple sentence has a lot meaning,,~ how funny English is ~

"A pen" is singular, so there is one pen to share between them. "They have (some) pens" means there are several pens, but it's not clear if there are enough pens, or too many. Christopher's example of "they each have a pen" means every person has their own pen. :)

I think all of them have a one pen only !!