Is there any way to MAKE(not buy) a switch that when it is turned on the circuit gets broken and LED turns off and vice versa?

you could run the switch circuit trough a relay.
Another way would be to put a resistor in series with the led and short out the led with your switch -- you can make a knife switch really easily.

you will use extra power through the resister but it will work..

Yes if you have the tools and skills.

Switch comes with pilot light was available in market , why bother to make your own.

A switch that when turned "on" the circuit gets broken? Just turn the switch upside down so that when the switch is off it is really on and vise versa. If turning the switch on breaks the circuit then turning it off must then make the connection, right? Just turn the switch upside down.

I get the feeling that you have not thought this through very well. Either that or you are not explaining it properly.

You can always connect the switch to a relay so that when the switch is on the relay closes and breaks the circuit using contacts that are rated as normally closed.