The present answer is made for the sake of answering an answerable question, and the cases where collisions actually matter: like, they are observed and we want to rule out it's by chance; or some authority specified that each smurf must have a unique key, and lack of a convincing argument for that separates the rubber stamp from the paperwork. See Yehuda Lindell's answer about why collisions at the output of a Key Derivation Function actually do not harm the security of encryption with the derived keys.
We'll use the definition of HKDF and the notations of RFC 5869.
How many different keys can be derived with HKDF before two outputs are identical?
Under standard assumptions about the $\mathtt{Hash}$ used, assuming the combination of the inputs $\mathtt{IKM}$¹ and $\mathtt{salt}$ does not repeat, fixed $\mathtt{info}$, and no intend of creating collision² in the choice of inputs, that number of generations before collision depends primarily on:
- $\mathtt{L}$, the size in byte of the output of HKDF (the generated key typically is $8\mathtt{L}$‑bit)
- $\mathtt{HashLen}$, the size in byte of the output of $\mathtt{Hash}$, that is 32 for SHA‑256.
A useful approximation is $16^{\min(\mathtt{L},\mathtt{HashLen})}$ or equivalently $2^{4\min(\mathtt{L},\mathtt{HashLen})}$, at a residual probability of collision of about 39% when $\mathtt{L}\ne\mathtt{HashLen}$, 63% when $\mathtt{L}=\mathtt{HashLen}$.
When we are interested in low probability $\epsilon$ of collision, that goes $\sqrt{2\,\epsilon}\,2^{4\min(\mathtt{L},\mathtt{HashLen})}$ when $\mathtt{L}\ne\mathtt{HashLen}$, or $\sqrt{\epsilon}\,2^{4\mathtt{L}}$ when $\mathtt{L}=\mathtt{HashLen}$.
For example, for SHA‑256, if we want residual probability of collision of $2^{-20}$ (less than one in a million) and 256‑bit generated key ($\mathtt{L}=32$), that's $2^{118}$ uses. For 128-bit keys, that's "down" to $2^{54.5}$ uses.
This first-order approximation considers that a collision can occur in the Extract step of HKDF with probability per the birthday bound as controlled by $\mathtt{HashLen}$, or in the Expand step as controlled by $\mathtt{L}$.
¹ More precisely, what matters is the value of master key $\mathtt{IKM}$ after replacing by its hash any value of $\mathtt{IKM}$ longer than the block size of $\mathtt{Hash}$, that is 64 bytes for SHA‑256. Notice that this replacement makes it trivial to generate a collision of HKDF for two values of $\mathtt{IKM}$ (one within the block size, the other larger) and the same $\mathtt{salt}$ and $\mathtt{info}$.
² Intend of creating collision would matter e.g. for $\mathtt{L}=16$ (that is 128‑bit generated keys) or lower, and an adversary was in a position to write the piece of code choosing $\mathtt{salt}$ or $\mathtt{info}$, and that piece of code had knowledge of $\mathtt{IKM}$.