The fifth generation (5G) wireless technology emerged with marvelous effort to state, design, deployment and standardize the upcoming wireless network generation. Artificial intelligence (AI) and machine learning (ML) techniques are well capable to support 5G latest technologies that are expected to deliver high data rate to upcoming use cases and services such as massive machine type communications (mMTC), enhanced mobile broadband (eMBB), and ultra-reliable low latency communications (uRLLC). These services will surely help Gbps of data within the latency of few milliseconds in Internet of Things paradigm. This survey presented 5G mobility management in ultra-dense small cells networks using reinforcement learning techniques. First, we discussed existing surveys then we are focused on handover (HO) management in ultra-dense small cells (UDSC) scenario. Following, this study also discussed how machine learning algorithms can help in different HO scenarios. Nevertheless, future directions and challenges for 5G UDSC networks were concisely addressed.