In a medium-size mixing bowl, whisk the powdered sugar and cocoa powder together until combined. Add in the Kahlua, heavy cream, water and salt, and whisk until smooth.
Working one at a time, dip a donut into the glaze then hold it over the bowl for a few second to let any excess drip off. Flip the donut and place it glazed-side up onto a cooling rack placed over a cookie sheet. Repeat with the rest of the donuts.