If in category to be inside of a function

If you want to use the function to output the code somewhere:

function displayImage($currentPost) {

    // Show the featured icon only if current post is in "featured" category
    if ( in_category ( 'featured', $currentPost ) ) {

        $output="<a href="https://wordpress.stackexchange.com/questions/58811/<?php the_permalink(); ?>">
                            <span  class="featured_icon">
                                <img src="<?php bloginfo("template_directory'); ?>/images/featured_icon.png" />  
                            </span>
                      </a>';
    }

    else { $output="" };
    return $output;

}

Then you can just pass the post id and echo the function.