Answer
For $Cl_{(g})$, $\Delta H^{\circ}_{f}\ne0$.
Work Step by Step
$He_{(g)}, Fe_{(s)}, S_{8(s)}, O_{2(g)}, Br_{2(l)}$ are in their standard states. These elements are stable at $25^{\circ}C$ and 1 atm pressure and occur in pure form. And hence these elements have $\Delta H^{\circ}_{f} = 0$
But $Cl_{(g)}$ is not stable at standard conditions. Its standard state is $Cl_{2(g})$. So for $Cl_{(g})$, $\Delta H^{\circ}_{f}\ne0$.
