No and yes.
No. A layer is just for stacking things and organizing your artwork. So there is no way to change a whole layer.
Yes. Movie clip, graphic, and button symbols are the main paradigms in Flash and each of them can have their transparency altered. (In Flash is is called alpha.) So convert your artwork into a movieclip or graphic and then from the properties panel look for the color effects drop down and change the alpha.
Or you can draw your art with colors that already have an alpha value set.
Thanks for your help!
But I want to know if the next version will have this function?
I would very much doubt that it would. You can draw your artwork using colors that are already partially transparent if you need to. But otherwise this is pretty much "baked" into the core functionality of Flash.
Just like I wouldn't really expect Photoshop to get timelines and tweens I wouldn't expect Flash's layers to be just like PS. They are both called Layers, but they serve very different purposes.
But I could be wrong. I never expect that Flash would get 3D.
Looks like you can eat your words about photoshop getting a timeline