The healthy fat from the coconut sauce adds to the flavor of this grilled chicken dish.
In a small saucepan, bring coconut milk to a gentle simmer; cook, stirring occasionally, until thickened and reduced to 1/2 cup, about 20 minutes.
Meanwhile, heat grill to high; oil grates. Rub chicken all over with oil; season generously with salt and pepper. Place chicken and jalapenos on grill; cover. Cook, turning occasionally, until chicken is cooked through and jalapenos are blackened all over, 12 to 16 minutes.
Transfer chicken to a platter; keep warm. Peel jalapenos, rubbing off the blackened skins with a paper towel; transfer to a blender. Add reduced coconut milk, lime juice, and 1/2 teaspoon salt. Blend on high speed until smooth.
Slice chicken crosswise into 4 or 5 pieces, and place on plates; spoon coconut sauce over the top. Serve with rice and lime wedges, if desired.
The coconut sauce can be made up to 2 days ahead; refrigerate in an airtight container, and reheat over low heat until warmed through (do not let it boil).