1. I don't have a TV set in my room.

2. I don't have any TV set in my room.
3. I don't have any TV sets in my room.
4. I have no TV set in my computer room.
5. I have no TV sets in my computer room.

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Which one is the similar expression to #1?

All are gramatically correct. However, it is not necessary to use the plural "sets" since if you don't have one, or any, you don't have more than one either. Numbers 4 and 5 contain more information than 1 (which room).

#2 is closest to #1.