If a steel rod is clamped between two walls such that it just fits into it and then heated , it would exert some force on the rod. But since no change in length takes place , can I say that the strain so produced is zero. If so then what about the hooks law?

The strain is produced . Strain is produced when there is change in length of rod from the normal length of the rod.
In this case when you heated the rod the normal length of rod is not the original length of the rod but the length after the thermal expansion of the rod. Now the because of the wall this shrinked to its original length , so now the strain is the length to which the rod tried to increase but couldn’t