In a large bowl, whisk together coconut milk, soy sauce, lime juice, brown sugar, chili powder, garlic powder, ground ginger, salt, black pepper, and cayenne pepper until well combined.
Add the chicken thighs to the marinade, ensuring they are fully submerged. Cover the bowl with plastic wrap and refrigerate for at least 2 hours, or up to overnight for maximum flavor.
Preheat your grill to medium-high heat.
Remove the chicken from the marinade, allowing excess marinade to drip off. Discard the marinade.
Place the chicken thighs skin-side down on the grill. Cook for about 6-8 minutes, then flip and cook for another 6-8 minutes, or until the internal temperature reaches 165°F and the skin is crispy.
Remove the chicken from the grill and let it rest for 5 minutes before serving.
Garnish with fresh cilantro and serve with lime wedges on the side.