I'm not sure there is straight out of the box functionality to do what you require.
But after reading some information, what you could do is setup a build that has a "Finish Build" trigger that would always execute after your first build finishes. (Regardless of success or failure).
Then in that second build, you could use the TeamCity REST API to determine if the last build execution from the first build was successful or not. If it wasn't successful then you could use the YouTrack REST API to create the issue.
TeamCity API Here: http://confluence.jetbrains.com/display/TW/REST+API+Plugin
YouTrack Create Issue API Here: http://confluence.jetbrains.com/display/YTD4/Create+New+Issue