Coconut milk on the other hand is not a naturally occurring substance when it comes to coconuts, and is made by crushing the white flesh of the coconut through a cheesecloth, while then soaking it in water a couple of times to gain the consistency that one requires, that is thick or thin. While coconut water is all organic in its make, coconut milk is something that would have to go through a man-made process to be obtainable, although no additives or preservatives change its content.