The formal answer is no, the objects of an abelian category need not be sets, nor do the morphisms need be functions. However, the Freyd-Mitechell embedding theorem says that an abelian category, and particularly a small one, is not far from being essentially a category of modules over some ring, with morphisms the module homomorphisms. In particular, when dealing with small enough diagrams in an abelian category one can safely pretend one is working with modules.