I found two ways to this:

I) transform datetime object to string and use it as dataset name

h = h5py.File('myfile.hdf5')
for k, v in d.items():
    h.create_dataset(k.strftime('%Y-%m-%dT%H:%M:%SZ'), data=np.array(v, dtype=np.int8))

where data can be accessed by quering key strings (datasets name). For example:

for ds in h.keys():
    if '2012-04' in ds:
        print(h[ds].value)

II) transform datetime object to dataset subgroups

h = h5py.File('myfile.hdf5')
for k, v in d.items():
    h.create_dataset(k.strftime('%Y/%m/%d/%H:%M'), data=np.array(v, dtype=np.int8))

notice forward slashes in strftime string, which will create appropriate subgroups in HDF file. Data can be accessed directly like h['2012']['04']['05']['23:30'].value, or by iterating with provided h5py iterators, or even by using custom functions through visititems()

For simplicity I choose the first option.