Preheat the oven to 375F. Lightly grease a baking sheet with olive oil or cooking spray.
In a large bowl, combine the Dijon mustard, coconut milk or half & half, salt, and black pepper. Whisk until smooth.
Bake:
Add the chicken thighs to the sauce and toss to coat. Transfer them to the baking sheet and bake for 30 to 35 minutes or until the chicken reaches an internal temperature of 175F.
Remove the baking sheet from the oven, transfer the chicken to a plate, and allow to rest 5 minutes before serving.