I don't think there's anything built in but it's easy to implement with test:

yup.string()
  .test('len', 'Must be exactly 5 characters', val => val.length === 5)

https://runkit.com/tamlyn/5ad9b99a4ba1230012d7ac21

This check leads to the best validation experience:

Yup.string()
.required()
.matches(/^[0-9]+$/, "Must be only digits")
.min(5, 'Must be exactly 5 digits')
.max(5, 'Must be exactly 5 digits')

output:

12f1    // Must be only digits
123     // Must be exactly 5 digits
123456  // Must be exactly 5 digits
01234   // valid
11106   // valid

Demo: https://codesandbox.io/s/yup-y6uph

For future reference, if you're looking to validate a number (zip code), the above solution requires a slight tweak. The function should be :

Yup.number().test('len', 'Must be exactly 5 characters', val => val.toString().length === 5)

.length does not work on numbers, only strings.