\documentclass{article}
\usepackage{makeidx}
\makeindex
\begin{document}
Cheese\footnote{\index{cake}cake.}
\printindex
\end{document}
This produces the entry cake, 1, with no indication that the text referred to was in a footnote. Could it be given the format cake, 1\,n., and cake 1 n.\,1 if there are more than one note on the page?
