The size of the shared memory ("local memory" in OpenCL terms) is only 16 KiB on most nVIDIA GPUs of today.
I have an application in which I need to create an array that has 10,000 integers. so the amount of memory I will need to fit 10,000 integers = 10,000 * 4b = 40kb.
Think of shared memory as explicitly managed cache. You will need to store your array in global memory and cache parts of it in shared memory as needed, either by making multiple passes or some other scheme which minimises the number of loads and stores to/from global memory.
How you implement this will depend on your algorithm - if you can give some details of what it is exactly that you are trying to implement you may get some more concrete suggestions.
One last point - be aware that shared memory is shared between all threads in a block - you have way less than 16 kb per thread, unless you have a single data structure which is common to all threads in a block.