BSP's are only possible to create in a game engine using native tools. At least as far as I know.

Though if you tried to do this in 3Ds Max using the polygon modeling tools, it's the same as any other imported model. Since Unity does not have any tools for creating nor recognizing BSP files, as you would be required to export it too .fbx or whatever else you might use.

So in brief, no you cannot create BSP's in 3DS Max and export them into Unity.

@SisterKy - BSP is short for "Binary space partitioning". More info here

the engine should have the code to read and use BSP for rendering. there is no difference for unity about what data you have in your assets. unity don't use it. BSP is an old technology. unity will support occlusion culling in future versions. currently it's available for the iphone with a manual setup but in near future we'll have it in unity 3 out of the box (hopefully).