The short answer is no. You would generally use some higher-order function to express the same functionality. There is a number of functions that let you do this, corresponding to different patterns (so if you describe what exactly you need, someone might give you a better answer).
For example, tryFind function returns the first value from a sequence for which a given predicate returns true, which lets you write something like this:
seq { 0 .. 100 } |> Seq.tryFind (fun i ->
printfn "%d" i
i=66)
In practice, this is the best way to go if you are expressing some high-level logic and there is a corresponding function. If you really need to express something like break, you can use a recursive function:
let rec loop n =
if n < 66 then
printfn "%d" n
loop (n + 1)
loop 0
A more exotic option (that is not as efficient, but may be nice for DSLs) is that you can define a computation expression that lets you write break and continue. Here is an example, but as I said, this is not as efficient.