Apple - How to create an application shortcut in Chrome for Mac
Unfortunately, the answer to your question is "you can't," and the reason is "because Google says so.
http://support.google.com/chrome/bin/answer.py?hl=en&answer=95710 says
This feature is only available for Google Chrome on Windows and Linux.
but there is no real explanation as to why. Nor have I found one anywhere else. It seems like an oft-requested feature, but I've never seen Google even suggest that they are planning to add it (although I presume/hope that they will).
Alternative Solution: If you are interested in creating site-specific browsers on Mac OS X, Fluid.app works great, but (IIRC) it is based on Webkit, not Chrome.
2013-06-27: Turns out there is a way to make Chrome SSBs on the Mac, although it's a little convoluted.
The instructions are too long to replicate here, and there is a shell script and/or AppleScript involved. You can find both of them at http://www.lessannoyingsoftware.com/blog/2010/08/149/Create+application+shortcuts+in+Google+Chrome+on+a+Mac
LifeHacker covered this as well, and created a video to go along with it. You can find that at: http://lifehacker.com/5611711/create-application-shortcuts-in-google-chrome-for-mac-with-a-shell-script
Applicationize
An open-source, free service I built that replicates the "Create Application Shortcuts" behavior on Mac by generating a Chrome extension of your favorite website on-the-fly that opens in its own window with its own dock icon!
http://applicationize.com/
http://eladnava.com/create-application-shortcuts-on-mac-with-applicationize/