SELECT INTO array[i] with PL/pgSQL

Dear PostgreSQL community,

Please consider the following minimal example:

CREATE TABLE example (row_id SERIAL, value TEXT);
INSERT INTO example(value) VALUES ('val1');
INSERT INTO example(value) VALUES ('val2');
INSERT INTO example(value) VALUES ('val3');

CREATE OR REPLACE FUNCTION foo()
RETURNS TEXT
AS
$$
DECLARE
a TEXT;
b TEXT[];
i INT;
BEGIN
FOR i in 1..3 LOOP
SELECT INTO a value FROM example WHERE row_id=i; -- This works
b[i] := a; -- perfectly!
-- SELECT INTO b[i] value FROM example WHERE row_id=i; Doesn't work!
END LOOP;
RETURN b[2];
END;
$$
LANGUAGE 'plpgsql';

The error message indicates a problem with selecting values into an array.
I have read the documentation carefully and have done extensive web
search, but a more verbose error message and some additional explanation
would help me to understand the problem.
Is there a way to select values directly into an array without the
assignment from an additional variable?

Regards,
Julia