Sure! In fact, that's my favorite way of infusing deep, true coffee flavor into ice cream custard. I stir the coffee grounds (I use espresso roast) into the milk and cream as they are heating. Once they reach a scald, I turn off the heat and let everything sit for 15 minutes, then turn the heat back on to bring the mixture back to a scald. Next, I pour everything through a sieve lined with a triple layer of cheesecloth, and proceed with the recipe. Do a few particles of coffee get through? Yes. I like to think of them as adding a subtle later of crunch.
Marcella Hazan had a recipe in her The Classic Italian Cookbook--vanilla ice cream with a sprinkling of fine-ground espresso and a shot of Scotch whiskey. It was a real favorite among some of my friends 30+ years ago. That little bit of texture was one of the best parts.
If it's very finely ground, it's not a big deal. Many espresso ice cream/gelato recipes have actual espresso grounds right in the mix. I don't mind it (think chocolate covered espresso beans). If you want it smooth, keep the grounds somewhat course and steep them in the milk/cream base before straining them out (a chinois is ideal, but any fine mesh strainer will work). In this case, I would add a splash of coffee liqueur to amp up the coffee flavor.
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