The latest version of Office 365 allows for this with the CreateBookmarks argument.

Microsoft Documentation: https://learn.microsoft.com/en-us/office/vba/api/word.document.exportasfixedformat

Example VBA Code:

ActiveDocument.ExportAsFixedFormat _
    OutputFileName:= "#######Filepath#########", _
    ExportFormat:=wdExportFormatPDF, _
    CreateBookmarks:=wdExportCreateHeadingBookmarks