This is an interesting suggestion, and I don't claim to know much about neutralinos, but to be degenerate they would need to have a temperature
$$ T \ll \frac{p_F^{2}}{2mk_{B}}, $$
where $p_{F}$ is the Fermi momentum and $m$ is the neutralino mass, thought to be in the range 100 GeV/$c^2$ - 1 TeV/$c^2$.
The present mass density of dark matter in the solar neighbourhood is thought to be of order 0.4 GeV/cm$^3$ (maybe an absolute maximum of 400 GeV/cm$^{3}$ nearer the centre?), so if this were made of say 400 GeV neutralinos, their number density would be of order just $n=10^3$ m$^{-3}$ ($10^{6}$ m$^{-3}$).
The Fermi momentum $p_{F} = (3n/8\pi)^{1/3} h \simeq 3\times 10^{-33}$ ($3 \times 10^{-32}$) kg m/s, which leads to a requirement on the temperature of $T \ll 10^{-18}$ ($10^{-16}$ K) if they were to be considered a degenerate gas.
Are such low temperatures realistic? It sounds a bit cold to me. I know that there are strong claims in the literature that dark matter needs to be at least warm(ish) - of order 10,000 K - to account for the non-cuspiness of dark matter profiles in dwarf spheroidal galaxies (e.g. Gilmore et al. 2007).