You can use your preferred font, not necessarily one that has that character.
The character is present, for instance, in Menlo (a macOS font).
\documentclass{article}
\usepackage{fontspec}
\usepackage{newunicodechar}
\setmainfont{Libertinus Serif} % or whatever font you like
\newfontface{\chesspiecesfont}{Menlo}
\NewDocumentCommand{\chesspiece}{m}{{\chesspiecesfont#1}}
\newunicodechar{♔}{\chesspiece{♔}}
\newunicodechar{♕}{\chesspiece{♕}}
\newunicodechar{♖}{\chesspiece{♖}}
\newunicodechar{♗}{\chesspiece{♗}}
\newunicodechar{♘}{\chesspiece{♘}}
\newunicodechar{♙}{\chesspiece{♙}}
\newunicodechar{♚}{\chesspiece{♚}}
\newunicodechar{♛}{\chesspiece{♛}}
\newunicodechar{♜}{\chesspiece{♜}}
\newunicodechar{♝}{\chesspiece{♝}}
\newunicodechar{♞}{\chesspiece{♞}}
\newunicodechar{♟}{\chesspiece{♟}}
\begin{document}
1. ♘ df5
2. ♚ df5
♔♕♖♗♘♙♚♛♜♝♞♟
\end{document}

If you replace Menlo with Apple Symbols, you get

and you understand why I did the indirection. We would like to move the pieces to sit on the baseline, rather than below it and reducing the font size a bit.
Change the relevant lines into
\newfontface{\chesspiecesfont}{Apple Symbols}[Scale=0.9]
\NewDocumentCommand{\chesspiece}{m}{\raisebox{\depth}{\chesspiecesfont#1}}
and the output will be

\tracinglostchars=3
Segoe UI Symbol
which is a windows font but use whichever font your browser uses to show your question