There's something fishy here. You're creating an array, but you're not using it as one. You're simply adding named properties to it, like you can with any object. In the end, you're left with an array that still has a length of zero. So I'm betting you don't actually want an array at all.
And in that case, I'd rewrite it to this
buildIndex = (source, property) ->
obj = {}
obj[prop[property]] = prop for prop in source
obj
No more array-nonsense. However, if this is indeed what you're going for, then that's pretty much it. I agree it doesn't look particularly elegant, but it's about as good as it gets with basic CoffeeScript.
However, you could use reduce, if you're targeting browsers that support it (or Node.js):
buildIndex = (source, property) ->
source.reduce (obj, item) ->
obj[item[property]] = item
obj
, {}
but as you can see, the callback-first style of reduce means you end up with a dangling comma and argument instead, which isn't terribly neat either.
Alternatively, if you're using something like underscore.js, you can use a groupBy function to do this for you
buildIndex = (source, property) ->
_.groupBy source, (item) -> item[property]
Looks better, although it's merely hiding the same code as above.
