Does there exist a quotient map $f : \mathbb{R}^m \to \mathbb{R}^n$?
Yes. Even a closed map. Even when $m>n$ (note that while projections are quotient maps, they are not closed).
Consider $k\in\mathbb{N}$ and let $$T_{n,k}=\{v\in\mathbb{R}^n\ |\ k\leq \lVert v\rVert\leq k+1\}$$ So it is an annulus except for $k=0$ which gives us a disc. Moreover $\mathbb{R}^n=\bigcup_{k=0}^\infty T_{n,k}$. Furthermore let
$$L_{n,k}=\{v\in\mathbb{R}^n\ |\ k=\lVert v\rVert\}$$
$$U_{n,k}=\{v\in\mathbb{R}^n\ |\ \lVert v\rVert= k+1\}$$
which together form the boundary of $T_{n,k}$ when $k>0$. Of course $T_{n,k}\cap T_{n,k+1}=U_{n,k}=L_{n,k+1}$.
The general idea is that we construct surjective continuous maps $T_{m,k}\to T_{n,k}$ in such a way that they coincide on boundaries, and thus are gluable. This will automatically guarantee that the map is closed as we will see.
So first we construct a surjective continuous map $f_0:T_{m,0}\to T_{n,0}$. We do that by mapping entire boundary $U_{m,0}$ to a point, say $(1,0,\ldots,0)$. We then map some small closed line inside $int(T_{m,0})$ onto $T_{n,0}$ (we can do this through a space filling curve, i.e. Hahn-Mazurkiewicz) and then extend this to entire $T_{m,0}$ through Tietze for example.
Similarly we define each $f_k:T_{m,k}\to T_{n,k}$ map for $k>0$. We do this recursively: we map $L_{m,k}$ to $f_{k-1}(U_{m, k-1})$ (which by recursion is always a point in $U_{n,k-1}$) and we map $U_{m,k}$ to some point in $U_{n,k}$. Well, we don't need recursion, we can predefine all those boundary points, e.g. $(k,0,0,\ldots,0)$. We then take a small closed line inside $int(T_{m,k})$ and map it onto $T_{n,k}$ (Hahn-Mazurkiewicz) and we extend all those pieces to full $T_{m,k}$. We can do this in various ways, one way is to realize that $T_{n,k}\simeq S^{n-1}\times [0,1]$ and so then we can find an extension on "$[0,1]$" coordinate by Tietze. What about "$S^{n-1}$" coordinate? If $m<n$ (the general case is considered at the EDIT section) then the (large) inductive dimension of $T_{m,k}$ is equal to $m$, which is at most $n-1$. This implies that the map is extendable (R. Engelking, "Dimension Theory", Theorem 3.2.10).
The way we constructed those $f_k$ means that they are compatible on intersections $T_{m,k}\cap T_{m,k+1}$ and so we can glue them all together into a single continuous surjective map $f:\mathbb{R}^m\to\mathbb{R}^n$. This map has one additional very important property: $f^{-1}(T_{n,k})=T_{m,k}$. Which I will call the $(*)$ property. And which implies that it is closed.
Indeed, consider $F\subseteq \mathbb{R}^m$ closed. Now assume $(x_k)$ is a sequence in $f(F)$ convergent to some element of $\mathbb{R}^n$. Of course $(x_k)$ must eventually belong to $T_{n,s}\cup T_{n,s+1}$ for some $s$ (most of the time it belongs to $T_{n,s}$, but we may require additional $T_{n,s+1}$ if it converges to the shared boundary and jumps between sides). By the $(*)$ property $(x_k)$ arises as $f(y_k)$ for some $(y_k)\subseteq F\cap (T_{m,s}\cup T_{m,s+1})$. Of course $(y_k)$ has a subsequence convergent in $F\cap (T_{m,s}\cup T_{m,s+1})$ (because it is compact) and therefore $\lim x_k\in f(F)$ by the uniqueness of limits.
EDIT: We can do slightly better and get rid of the "$m<n$" assumption. Yes, I know that there's an obvious quotient map $\mathbb{R}^m\to\mathbb{R}^n$ when $m>n$, namely one of the projections, but these are not closed unfortunately. I'm not exactly sure whether there is some obvious closed $\mathbb{R}^m\to\mathbb{R}^n$ map when $m>n$, I don't see it at the moment. But the above construction does work for this case as well, but needs a different argument.
When $m>n$ then the "inductive dimension" argument fails. So we need another way to extend our partial $f_k$ to whole $T_{m,k}$. Luckily we do have the Borsuk homotopy extension theorem (which can be found in R. Engelking, "Dimension Theory", lemma 1.9.7.):
Assume that $X$ is a metric space, $A\subseteq X$ closed and $f,g:A\to S^n$ are homotopic. Then $f$ is continuously extendable to whole $X$ if and only if $g$ is.
(the original lemma is slightly more general and has stronger conclusion, I've simplified it for our needs)
In particular a nullhomotopic map is always extendable. And this applies to our partial $f_k$, because it is nullhomotopic. Because its domain is a topological disjoint union of three spaces, and it is nullhomotopic on each of them. On boundaries it already is constant. And the curve has contractible domain so it is nullhomotopic.