Line an 8x8-inch baking dish with parchment paper and set aside.

Stir the water and cornstarch together in a small bowl to make a slurry. Set aside.

Add the coconut milk and sugar to a medium saucepan and whisk to combine. Heat over medium heat, whisking frequently, until just before boiling.

Slowly pour in the cornstarch slurry while whisking continuously. Lower the heat to medium-low and whisk continuously as it comes to a boil.

Continue to cook until very thick, whisking the entire time. Transfer to the prepared pan and spread it evenly in the pan, smoothing out the top.

Cool to room temperature, then refrigerate at least 4 hours until set firm. Slice into 16 pieces and serve.