The macro \bengaliNum
takes the name of a LaTeX counter as argument (so similar to \value{theyflines}
you can use \bengaliNum{theyflines}
) and prints the number in Bengali.
\documentclass[]{article}
\usepackage{polyglossia}
\setmainlanguage[numerals=Devanagari]{bengali}
\setmainlanguage{bengali}
\setotherlanguage{english}
\newfontfamily\bengalifont[Script=Bengali]{Ekushey Amar Desh}
\makeatletter
\newcommand\bengaliNum[1]
{%
\expandafter\@bengaliNum\csname c@#1\endcsname
}
\newcommand\@bengaliNum[1]
{%
\expandafter\bengaliNum@a\the#1\end@bengaliNum
}
\newcommand\bengaliNum@a{}
\def\bengaliNum@a#1#2\end@bengaliNum
{%
\ifcase#1 ০%
\or ১%
\or ২%
\or ৩%
\or ৪%
\or ৫%
\or ৬%
\or ৭%
\or ৮%
\or ৯%
\fi
\if\relax\detokenize{#2}\relax
\expandafter\@gobble
\else
\expandafter\@firstofone
\fi
{\bengaliNum@a#2\end@bengaliNum}%
}
\makeatother
\newcounter{testcounter}
\begin{document}
\loop\ifnum\value{testcounter}<20
\makebox[1em][r]{\thetestcounter:} \bengaliNum{testcounter}\par
\stepcounter{testcounter}
\repeat
\end{document}

Using your MWE (I did not adjust any spacing):
\documentclass[]{article}
\usepackage{forloop}
\usepackage{polyglossia}
\setmainlanguage[numerals=Devanagari]{bengali}
\setmainlanguage{bengali}
\setotherlanguage{english}
\newfontfamily\bengalifont[Script=Bengali]{Ekushey Amar Desh}
\makeatletter
\newcommand\bengaliNum[1]
{%
\expandafter\@bengaliNum\csname c@#1\endcsname
}
\newcommand\@bengaliNum[1]
{%
\expandafter\bengaliNum@a\the#1\end@bengaliNum
}
\newcommand\bengaliNum@a{}
\def\bengaliNum@a#1#2\end@bengaliNum
{%
\ifcase#1 ০%
\or ১%
\or ২%
\or ৩%
\or ৪%
\or ৫%
\or ৬%
\or ৭%
\or ৮%
\or ৯%
\fi
\if\relax\detokenize{#2}\relax
\expandafter\@gobble
\else
\expandafter\@firstofone
\fi
{\bengaliNum@a#2\end@bengaliNum}%
}
\makeatother
\usepackage[a4paper,left=0cm,top=0cm,bottom=0cm]{geometry}
\newcommand{\aline}{\\\hline \bengaliNum{theyflines} &&&&&&&\rule{0cm}{0.5cm}}
\begin{document}
\pagenumbering{gobble}
\newcounter{theyflines}
\noindent
\begin{tabular}{|p{0.15cm}|p{6cm}|p{1.5cm}|p{1.3cm}|p{1cm}|p{1.5cm}|p{4.5cm}|p{3cm}|}
\hline
{\tiny ক্রমিক} নং & নাম & রুম নং & ডিপার্টমেন্ট & বর্ষ & সেশন & মোবাইল নং & জেলা
\forloop{theyflines}{1}{\value{theyflines} < 40}{\aline}\\
\hline
\end{tabular}
\end{document}
