<?php

$arr = [
	"01/02/2015",
	"02/02/2015",
	"03/02/2015",
	"04/02/2015",
	"05/02/2015",
	"09/02/2015",
	"10/02/2015",
	"11/02/2015",
	"12/02/2015",
];

//complexidade O(n)
function processaDias($arrDias) {
	$index = 0;
	$dia_anterior = "";
	$ret = [];
	foreach($arrDias as $dia) {
		if ($dia_anterior === "") {
			$ret[$index][] = $dia;
			$dia_anterior = $dia;
			continue;
		}
		
		$d1 = DateTime::createFromFormat("d/m/Y", $dia_anterior);
		$d2 = DateTime::createFromFormat("d/m/Y", $dia);
		
		$diff = $d2->diff($d1);
	
		if($diff->format("%d") !== "1") {
			$index++;
		}
		
		$ret[$index][] = $dia;
		
		$dia_anterior = $dia;
	}
	
	return $ret;
}

$res = processaDias($arr);

var_dump($res);