This has been bugging me for a while, and despite googling around, I cannot seem to even find an explanation as to why the "Create Application Shortcut" is disabled.
Unfortunately, the answer to your question is "you can't," and the reason is "because Google says so.
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
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!
There have been google suppor threads where a "rep" does state that this feature is in the works. It once was pegged at 2 months, or perhaps 2 weeks, I can't remember. That was over a year ago.
I suspect it is not a very high priority with so few users even knowing what it would be good for. I had a PC/Windows using friend try it out, not only couldn't he figure out how to set it up, but couldn't think of a good reason why it would be a great idea.
All the while, he was clicking away and mousing away with his 1900 button mouse that he loves so much. :)
Fluid.app is a third-party app which provides this feature. It works great, and the free version has enough features. You can set global shortcuts, custom app icons, and lots of other stuff.