Either:
// Set the value explicitly as a string
$objPHPExcel->getActiveSheet()->setCellValueExplicit('A1', '0029', PHPExcel_Cell_DataType::TYPE_STRING);
or
// Set the value as a number formatted with leading zeroes
$objPHPExcel->getActiveSheet()->setCellValue('A3', 29);
$objPHPExcel->getActiveSheet()->getStyle('A3')->getNumberFormat()->setFormatCode('0000');