I read somewhere that :
A subfield of $F_{p^n}$ has order $p^d$ where $d\mid n$, and there is one such subfield for each $d$.
Let $q = p^n$
We have that any irreducible polynomial of degree $n$ over $F_p$ is a factor of $X^q - X \in F_p[X]$. For any positive integer $n$
Suppose, we have a subfield as in the quoted statement and an irreducible polynomial of degree $k$ over it, such that $ n = dk$.
Is this polynomial also a factor of $X^q - X$ ?
One has $$ k \mid n \qquad\text{iff}\qquad p^{k} - 1 \mid p^{n} - 1 \qquad\text{iff}\qquad x^{p^{k}} - x \mid x^{p^{n}} - x. $$
Now $k$ divides $n = d k$, and your irreducible polynomial of degree $k$ divides $x^{p^{k}} - x$, and thus divides $x^{p^{n}} - x$.
Post Scriptum
I may have misunderstood the problem. On second thoughts it appears to ask the following.
The answer is still yes in this formulation. If $\alpha$ is a root of $f$ in some extension of $F$, then $E = F[\alpha]$ is a finite field of order $(p^{d})^{k} = p^{n}$. If $g$ is the minimal polynomial of $\alpha$ over $F_{p}$, then $f \mid g$. Since $g$ has a root in $E$, $g$ divides $x^{p^{n}} - x$, and so does $f$.