From build record it is possible - just click add existing or a new work item.
But this is not the use case which naturally people submitting defects follow.

They just create a a new work item and then think how they should add a build against which they want to report it.

How can we point to a build from work item record to make it appear as work item link "reported against build"?

This is required best from first page of work item, in a similar way to "found in release" is used - drop down list. We initially thought to add all builds as releases and use "found in release" for that purpose, but this not a good solution really, because there exists this "reported against build" link type and the relationship between build and work item is also N:N.

Thanks
Pawel