Do you want to do something with the sparsity order of the optimization variable s? That would be non-convex.
If you are referring to sparsity order of a sparse input vector y, then it should be straightforward to implement in CVX. For example,
y=sparse([0 1 0 2 0 3 0 4 0 5]');
norm(s,1) <= 4
Of course, using an equality constraint on norm(s,1) is non-convex, and is not allowed by CVX.