Concept:
The energy stored in an inductor is
\[
U=\frac{1}{2}LI^2,
\]
where
\[
L=\text{inductance},
\qquad
I=\text{current}.
\]
Step 1: Write the given data.
\[
L=5\,\text{H},
\]
\[
I=4\,\text{mA}
=4\times10^{-3}\,\text{A}.
\]
Step 2: Substitute into the energy formula.
\[
U
=
\frac12(5)(4\times10^{-3})^2.
\]
\[
=
\frac52(16\times10^{-6}).
\]
\[
=
40\times10^{-6}\,\text{J}.
\]
\[
=
40\,\mu\text{J}.
\]
Step 3: Identify the correct option.
\[
\boxed{U=40\,\mu\text{J}}
\]
Therefore,
\[
\boxed{\text{Answer = (C)}}
\]