It is not possible to import CAD Drawing data as intelligent objects.
You can insert CAD Drawing to Drawing and convert symbols to Visio text and lines. It may be useful for creating different project symbols or as background for drafting convenience.
Open your Diagram and from Insert tab, select Cad Drawing...
Then you may need to adjust scale of the drawing, and convert shapes by right click on imported drawing and selecting Cad Convert
Your cad file version must be AUTOCAD 2007 or before 2007.