I do yoga on Monday, Tuesday, Wednesday, Thursday and Friday.
ok, but this means that you do yoga on these days in one week. I imagine that you would do yoga regularly, so you could say, 'I do yoga on Mondays, Tuesdays, Wednesdays, Thursdays and Fridays'. which would mean these days every week.
You could also say 'I do yoga five days a week' if you don't want to be specific, or 'I do yoga every week day' if you want to talk about these five days.
Hope that helps