Preheat the oven to 450F.
Cut the butternut squash in half lengthwise, and scoop out the seeds (discard). Place the squash on a baking sheet and drizzle with olive oil, and season liberally with salt and pepper. Roast until the squash is golden and tender, about 30-45 minutes. Remove from the oven and set aside.
Meanwhile, in a large pot, saute the onion, leek and garlic in olive oil until translucent. Add the carrot and celery, the coriander and kaffir lime leaves, and season with salt and pepper. Saute a few minutes more, before adding the broth.
Next, using a spoon, scoop out the flesh of the roasted butternut squash and add this to the pot. Bring to a boil and simmer for about 25 minutes, before adding the coconut milk. Simmer for 10 minutes, then transfer the mixture to a blender and blend until smooth (do this in batches).
Return the soup to the pot and adjust seasoning as necessary. You can also add water to create a thinner consistency, as necessary. To serve, drizzle with olive oil and top with chopped cilantro, to taste.