In a medium saucepan, whisk together the coconut milk, whole milk, sugar, and salt over medium heat until the sugar dissolves.
In a small bowl, mix the cornstarch and water until smooth.
Once the milk mixture is warm, slowly whisk in the cornstarch mixture.
Continue to cook, stirring constantly, until the mixture thickens and begins to bubble, about 5-7 minutes.
Remove from heat and stir in the vanilla extract.
Pour the mixture into a square or rectangular dish and spread it evenly.
Allow it to cool at room temperature for about 30 minutes, then refrigerate for at least 2 hours or until set.
Once set, cut into squares and serve chilled.