Using what you tried, first note $41 \mid (k^5 - 2) \implies k^5 \equiv 2 \pmod{41}$. Also, for any such $k$, then $41$ (being prime) must divide at least one of $k^5 - 1$, $k^5 + 1$, $k^{10} + 1$ and $k^{20} + 1$. However, $k^5 - 1 \equiv 2 - 1 = 1 \pmod{41}$, $k^5 + 1 \equiv 2 + 1 \equiv 3 \pmod{41}$, $k^{10} + 1 \equiv (2)^2 + 1 \equiv 5 \pmod{41}$ and $k^{20} + 1 \equiv 2^{4} + 1 \equiv 17 \pmod{41}$. Thus, since $41$ doesn't divide any of those factors, there can't be any such $k$.
Alternatively, assume there's a $k \in \mathbb{Z}$ such that $41 \mid (k^5 - 2)$. Then this also means that
$$k^{40} = (k^5)^8 \equiv 2^8 = 256 \equiv 10 \pmod{41} \tag{1}\label{eq1A}$$
However, since $41 \not\mid k$ and $41$ is prime, then Fermat's little theorem states that $k^{40} \equiv 1 \pmod{41}$, which contradicts \eqref{eq1A}. Thus, there is no such $k$.