Nope, unfortunately you cannot create smart lists within the Analytics section; they can really only be created within Marketing Activities and Database.
Hi Jamie Barclay,
As Grace rightly said, There is no option to create a smart list in the Analytics area. Wanted to check if there is any specific reason you want to create a smart list in the analytics area? There are certain reports like the People Performance reports and the Email performance report inside of which you can define a smart list (As given in the below snapshot)
But other than that the option to create a smart list directly in Analytics, does not exist.