How to create an application shortcut in Chrome for Mac
Unfortunately, the answer to your question is "you can't," and the reason is "because Google says so.

http://support.google.com/chrome/bin/answer.py?hl=en&amp;answer=95710 says 


  This feature is only available for Google Chrome on Windows and Linux.


but there is no real explanation as to why. Nor have I found one anywhere else. It seems like an oft-requested feature, but I've never seen Google even suggest that they are planning to add it (although I presume/hope that they will).

Alternative Solution: If you are interested in creating site-specific browsers on Mac OS X, Fluid.app works great, but (IIRC) it is based on Webkit, not Chrome.

2013-06-27: Turns out there is a way to make Chrome SSBs on the Mac, although it's a little convoluted.

The instructions are too long to replicate here, and there is a shell script and/or AppleScript involved. You can find both of them at 
http://www.lessannoyingsoftware.com/blog/2010/08/149/Create+application+shortcuts+in+Google+Chrome+on+a+Mac

LifeHacker covered this as well, and created a video to go along with it. You can find that at: 
http://lifehacker.com/5611711/create-application-shortcuts-in-google-chrome-for-mac-with-a-shell-script