It's strongly implied, but not confirmed.
From a BBC blog written by the show's creator, Hans Rosenfeldt:
...What if the Swedish
detective was a woman with absolutely no social skills?
Catching up: Saga and Martin are friends but don't speak until another
case brings them together Everything she can read, she'll learn, but
when it comes to interaction with another person, she's totally lost.
That was pretty much all we said about Saga Norén (beautifully played
by Sofia Helin).
Now, the media and the audience have decided that she has Asperger’s,
but we've actually never diagnosed her in the show.
In the American remake of the show, it's admitted by the lead actress Diane Kruger that the character has Asperger's. In an interview with The Hollywood Reporter she said:
“Yes, she has a condition [with] so many shortcomings in her personal
life that appear because of that condition,” Kruger told THR in an
interview with reporters. “Yet, she is so different in her job because
she has this ability to focus and really look at things from a
different point of view.”
So in conclusion: no, it is not confirmed in the original series, but most reviewers and fans have assumed it.