It is a natural liquid that comes from the mature coconuts, specifically to mix the pulp with water. When you open a fresh coconut, the whitish and milky liquid that comes out of it is natural coconut water, but if you beat the pulp and then filter it with a strainer, the result is a denser liquid known as coconut milk.
How are these two liquids different? When a coconut is ripe, most of the water inside it becomes pulp. Because of this, mature coconuts tend to be better for coconut drinks, while younger coconuts (between five and seven months) are the best producers of coconut water. Coconut water is richer in sugars and certain electrolytes, while milk contains more healthy fatty acids (from coconut oil) and is therefore more caloric.