The argument to \index is independent of the text of your document. Thus if you want to index an item which is also in the text, you either need to repeat it
\documentclass[12pt,a4paper]{book}
\usepackage{xkeyval}
\usepackage{polyglossia}
\usepackage{xcolor}
\usepackage{makeidx}
\usepackage{multicol}
\setmainfont[Script=Devanagari]{Sanskrit 2003}
\makeindex
\begin{document}
\printindex
\chapter*{प्रथमाध्यायः}
\index{धर्मक्षेत्रे कुरुक्षेत्रे}%
धर्मक्षेत्रे कुरुक्षेत्रे समवेता युयुत्सव: । \\
मामका: पाण्डावश्चैव किमकुर्वत सञ्जय ॥ १ ॥
\end{document}
or define a custom command to do this 'behind the scenes':
\documentclass[12pt,a4paper]{book}
\usepackage{xkeyval}
\usepackage{polyglossia}
\usepackage{xcolor}
\usepackage{makeidx}
\usepackage{multicol}
\setmainfont[Script=Devanagari]{Sanskrit 2003}
\makeindex
\newcommand\alsoindex[1]{\index{#1}#1}
\begin{document}
\printindex
\chapter*{प्रथमाध्यायः}
\alsoindex{धर्मक्षेत्रे कुरुक्षेत्रे}
धर्मक्षेत्रे कुरुक्षेत्रे समवेता युयुत्सव: । \\
मामका: पाण्डावश्चैव किमकुर्वत सञ्जय ॥ १ ॥
\end{document}
The \index command is a bit odd as it does various verbatim-like tricks, but for simple text the approach of a wrapper should work.