It's not possible in ColdFusion, I'm afraid, other than the work-around you are currently using, or just using an indexed for loop.
However in Railo, there is this (rather awful tag/script hybrid syntax):
<cfscript>
loop array=[5,4,3,2,1] index="i" item="v" {
writeOutput("[#i#][#v#]<br>");
}
</cfscript>
So basically it's the <cfloop>
without the angle brackets.