Because Yammer is a private network just for your organization, it is designed so that coworkers can follow people who provide information that helps them do their job. This means you can't block coworkers from following you in Yammer. However, there are several ways that you can limit who sees your messages:
Send private messages only to those users with whom you want to communicate.
Create a private group, and invite only those people with whom you'd like to interact.
Create an external network, and restrict invitations to administrators only. Note that this applies only if your network allows for external networks.