In a medium saucepan, combine the cream, milk and sugar. Bring to a simmer over medium heat, stirring occasionally. Remove from heat and stir in the vanilla extract.
In a small bowl, whisk together the gelatin and cold water until combined. Let sit for 5 minutes to bloom.
Add the bloomed gelatin to the cream mixture and stir until completely dissolved.
Stir in the coconut milk.
Pour into four 6-ounce ramekins or custard cups. Refrigerate for at least 4 hours before serving.