You can append items to a list by adding two lists, like this:
{% set data = namespace(numbers=[]) %}
{% for i in range(10) %}
{% set data.numbers = data.numbers + [i] %}
{% endfor %}
{{ data.numbers }}
For your case, this should work (I cant test it and I am not sure about the “regex_findall_index” stuff):
{% set body = state_attr('sensor.avito_clothes_mail', 'body') %}
{% set data = namespace(links=[]) %}
{% for i in range(10) %}
{% set data.links = data.links + [(body | regex_findall_index('https://www.avito.ru.+?(?=")', index = i))] %}
{% endfor %}
{{ data.links }}