Assuming that we are considering only $5$ digit numbers (i.e. strings beginning with '$0$' are not counted) then the answer can be expressed simply as:
$$\frac{1}{3}\left(\binom{9}{5}5!+\binom{9}{4}4\cdot 4!\right)=9072\tag{Answer}$$
For the $5$ digit numbers to be multiples of $3$ we require their digit sum to be a multiple of $3$.
With this in mind, begin by considering the generating function for number of partitions into $5$ distinct parts with maximum part $9$. This generating function is related to the Gaussian binomial coefficient $\binom{n}{r}_q$. Specifically it is:
$$q^{\binom{5}{2}}\binom{9}{5}_q,$$
and the sum of it's $q^{3k}$ ($k=0,1,2\ldots$) coefficients counts distinct choices of $5$ digits from the set $\{1,2,\ldots,9\}$ that sum to multiples of $3$.
For each such choice a $5$ digit number has $5!$ permutations, therefore the number of $5$ digit numbers, divisible by $3$, using choices from $\{1,2,\ldots,9\}$ is:
$$5!\sum_{k}[q^{3k}]q^{15}\binom{9}{5}_q\tag{1}$$
Where we use the $[q^{3k}]$ operator to evaluate the coefficient of $q^{3k}$ in the generating function.
Similarly the generating function for number of partitions into $4$ distinct parts with maximum part $9$ is:
$$q^{\binom{4}{2}}\binom{9}{4}_q.$$
The sum of it's $q^{3k}$ coefficients count distinct choices of $4$ digits from the set $\{1,2,\ldots,9\}$ that sum to multiples of $3$. We may also use this sum to count the number of choices of $5$ digits from the set $\{0,1,2,\ldots,9\}$ that must include $0$ and who's digit sum is divisible by 3.
For each such choice a $5$ digit number has $4\cdot 4!$ permutations: '$0$' can take positions $2$ to $5$ then the remaining $4$ digits take the $4$ remaining positions in $4!$ ways. The number of $5$ digit numbers, divisible by $3$, using choices from $\{0,1,2,\ldots,9\}$ that must contain '$0$' is:
$$4\cdot 4!\sum_{k}[q^{3k}]q^{10}\binom{9}{5}_q\tag{2}$$
So the required answer is given by:
$$5!\sum_{k}[q^{3k}]q^{15}\binom{9}{5}_q+4\cdot 4!\sum_{k}[q^{3k}]q^{10}\binom{9}{5}_q\tag{3}$$
Using a technique called the "roots of unity filter" we see that $(1)$ gives us:
$$\sum_{k}[q^{3k}]q^{15}\binom{9}{5}_q=\frac{1}{3}\left((1)^{15}\binom{9}{5}_1+(e^{2i\pi/3})^{15}\binom{9}{5}_{e^{2i\pi/3}}+(e^{4i\pi/3})^{15}\binom{9}{5}_{e^{4i\pi/3}}\right).$$
Here we are using the cube roots of unity.
The only non-zero term on the right is $\binom{9}{5}_1=\binom{9}{5}$ since $\binom{9}{5}_q$ has a factor $(1-q^9)$ which is $0$ for $q=e^{2i\pi/3}$ and $q=e^{4i\pi/3}$. Hence
$$\sum_{k}[q^{3k}]q^{15}\binom{9}{5}_q=\frac{1}{3}\binom{9}{5}\tag{4}$$
Similarly the roots of unity filter for $(2)$ gives:
$$\sum_{k}[q^{3k}]q^{10}\binom{9}{4}_q=\frac{1}{3}\left((1)^{10}\binom{9}{4}_1+(e^{2i\pi/3})^{10}\binom{9}{4}_{e^{2i\pi/3}}+(e^{4i\pi/3})^{10}\binom{9}{4}_{e^{4i\pi/3}}\right),$$
and the only non-zero term on the right is $\binom{9}{4}_1=\binom{9}{4}$, hence:
$$\sum_{k}[q^{3k}]q^{10}\binom{9}{4}_q=\frac{1}{3}\binom{9}{4}\tag{5}$$
Putting results $(4)$ and $(5)$ into $(3)$ yields our answer.
Note carefully that, should we allow strings beginning '$0$', then $(2)$ becomes instead:
$$5!\sum_{k}[q^{3k}]q^{10}\binom{9}{5}_q,$$
and our answer would be:
$$\frac{1}{3}\left(\binom{9}{5}5!+\binom{9}{4}5!\right)=\frac{2}{3}\binom{9}{5}5!=10\,080$$