You can use a \footnotemark and \footnotetext pair:

\documentclass{article}
\usepackage{graphicx}
% To display subfigures
\usepackage{caption}
\usepackage{subcaption}
\begin{document}
\begin{figure}[h!]
\centering
\begin{subfigure}[t]{.47\textwidth}
\centering
\includegraphics[width=\linewidth]{example-image-a}
\caption{My caption with a footnote\protect\footnotemark}
\label{fig:myfiga}
\end{subfigure}\hspace*{.05\textwidth}%
\begin{subfigure}[t]{.47\textwidth}
\centering
\includegraphics[width=\linewidth]{example-image-b}
\caption{Other caption}
\label{fig:myfigb}
\end{subfigure}
\caption{My big caption}
\label{fig:myfig}
\end{figure}
\footnotetext{Yes I like footnotes ! But this one is not a true foot note, because it's not at the bottom of the page...}
\end{document}
Or, if you prefer a more automatic solution (requires LaTeX 2020-10-01, at least), you can redefine \footnote in the figure environment, so that it does \footnotemark, and store the \footnotetext in a hook to be executed after the figure environment, then you can just use \footnote inside figure:

\documentclass{article}
\usepackage{graphicx}
% To display subfigures
\usepackage{caption}
\usepackage{subcaption}
\AddToHook{env/figure/begin}{%
\DeclareRobustCommand\footnote[1]{%
\footnotemark
\expanded{\AddToHookNext{env/figure/after}%
{\noexpand\setcounter{footnote}{\thefootnote}%
\noexpand\footnotetext\unexpanded{{#1}}}}}}
\begin{document}
\begin{figure}[h!]
\centering
\begin{subfigure}[t]{.47\textwidth}
\centering
\includegraphics[width=\linewidth]{example-image-a}
\caption{My caption with a footnote\footnote
{Yes I like footnotes ! But this one is not a true foot note,
because it's not at the bottom of the page...}}
\label{fig:myfiga}
\end{subfigure}\hspace*{.05\textwidth}%
\begin{subfigure}[t]{.47\textwidth}
\centering
\includegraphics[width=\linewidth]{example-image-b}
\caption{Other caption\footnote{Another}}
\label{fig:myfigb}
\end{subfigure}
\caption{My big caption\footnote{MOAR}}
\label{fig:myfig}
\end{figure}
\end{document}