Does Dot NET supports PKCS11 certificates for HSM devices. If not, are there any other third party utilities available which supports pkcs11 certificates?
Not sure what you mean by "HSM device", so you will need to check the specifics of your requirements.
Otherwise .NET does support PKCS9, but no sign of PKCS11 in core .NET (for the former System.Security.Cryptography.Pkcs namespace).
Outside of core .NET there are some search hits (e.g. http://msdn.microsoft.com/en-us/library/microsoft.clm.shared.profiletemplates.smartcardprovidertype(VS.85).aspx).