How to get nearest 5 points mean with Nearest Neighbours?
First of all you train/ fit a model on the training set, may be cross validate using a training set. But it is not meant to predict itself. That's what test set is for.

You can achieve your objective by predicting each observation in a Leave One Out manner (also used for cross validation):

For every observation (i) in your dataset, fit a KNN regressor using all data except (i), evaluate your prediction for (i).