Coconut milk is the liquid that comes from the grated meat of a brown coconut. It should not be confused with coconut water. The color and rich taste of coconut milk can be attributed to the high oil content.Most of the fat is saturated fat.oconut milk can be made at home by processing grated coconut with hot water or milk, which extracts the oil and aromatic compounds. It has then a fat content of 17-24% depending on the fat level of the coconut meat and the quantity of added water.