You actually want to use dairy kefir grains with coconut milk. They work beautifully. Here's a post on my blog on making coconut kefir:
http://culturesforhealth.com/blog/?p=182.
Although I've never technically tried it myself, the nature of coconut milk would lead me to believe you will likely damage your water kefir grains by placing them in coconut milk. Dairy kefir grains are more versatile than water kefir grains. For example, you can convert them to be able to culture juice but water kefir grains won't work in milk. For water kefir grains, stick to sugar water and juice.
ETA: Edited to add that Dom's kefir site does say that over time you can convert water kefir grains to milk but I've never known anyone who's managed to make it work. If you are going to experiment, be sure to only use part of your water kefir grains so you don't accidentally kill all your grains.