If the multimeter is set to read voltage, it will have very high resistance, so if everything is working correctly touching the other lead even if one lead is in the hot slot will not give a shock.
If it's set to read current, it will have almost zero resistance, so touching the other lead would be equivalent to touching the bare wire. Thus, having the multimeter plugged into the hot slot and touching the other lead will give us a shock.
Therefore, it is possible to get electrocuted by using a multimeter.