No, This is absolutely in accordance with law of conservation of linear momentum as there is no external force acting on the system.
When we apply brakes to a vehicle, a retarding force is applied due to which it stops.
This occurs in a way such that the total loss in momentum of the vehicle is equal to gain in momentum of the brake system i.e. change in momentum of the applied force.
So, total momentum of the system remains conserved!
REGARDS