Skype has text chat built-in. If you mean, will a tiny person inside your computer type out your speech for you and put it in the chat window, then no.
Skype has text-to-speech capability, but unfortunately not speech-to-text--YET. But it does have an add-in that allows you to use voice commands to control Skype, but it's limited to that. However, it's possible that one of the speech recognition programs like Naturally Speaking can interact with Skype's text chat function to provide a captioning-like feature (?--experimentation may prove either way). I wouldn't be surprised, though, if they came out with something like that in the next few years.