It does matter. Many companies can't write home insurance if the fire department is over 10 miles away. I would say less than 5 would be the best. Premium rating also depends on the ISO Rating of the fire department. The rating is from a 1 to 10. One being the best rated. A volunteer fire department is going to have a higher rating than a fire department that is staffed at all times. If you have fire hydrants close by helps as well.

Here is a little information on what the ISO is:

ISO - Insurance Service Office - This is a, for profit, organization that provides statistical information on risk. For many years the "ISO Rating" had a large impact on most fire departments. The ISO (PPC) rating is from 10 - 1. With "1" being the best.