Is it possible to setup socks5 client in a mikrotik router?

This feels like an XY problem. Tell us your end goal, in detail, not about your difficulties achieving the goal given the current contents of your mental toolbox.

One or another of the various VPN features in RouterOS will probably do what you want.

Realize also that "VPN" is a broader class of tech than is commonly assumed. I'd put SSH port-forwarding into that basket, an oft-overlooked option.