We don’t have a compiler for C++/CLI, it would be a very large undertaking for a very small userbase. Consider also that the C++/CLI spec is inherently flawed and non-portable, so being able to compile it wouldn’t help much in the general case.
You can compile using the MS .NET compiler and run in mono with these restrictions:
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run with mono on any system if the C++/CLI app is pure managed (but then, why use such an ugly language and not C#?)
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run with mono on windows in the other cases (C++/CLI apps are in general non-portable and include native code, so they can run only on windows and are uninteresting for the major objective of mono which is to run managed programs on Linux)
Note that MS itself will eventually drop C++/CLI, so don’t invest too much on it and switch to C#.