What's wrong with my script?

The reason is because you're not actually setting the CanCollide as a specific property of a part.

Additionally, although it isn't an error, rather than doing division when setting transparency, you can set the index increase value as a third reference.

To fix the original problem(s), you can add a reference as such:

local this = script.Parent

while (true) do
    for i=0, 10 do
        this.Transparency = i/10 then
        this.CanCollide = true
        wait(0.1)
    end
    for i=10, 0, -1 do
        this.Transparency = i/10
        wait(0.1)
    end
end

Also, if you'd like to not use division when doing this, you can do:

local this = script.Parent

while (true) do
    for i=0, 1,.1 do
        this.Transparency = i then
        this.CanCollide = true
        wait(0.1)
    end
    for i=1, 0, -.1 do
        this.Transparency = i
        wait(0.1)
    end
end