Rochdale have been told they have a vital lesson to learn - and quickly - after a stoppage-time header denied them victory and earned Chesterfield a 1-1 draw.
The visitors were leading through a superb long-range strike by Andrew Tutte but Jack Lester rescued one of the League Two promotion favourites with a near-post header.
"We've got to learn how to win but at this moment in time we don't know how to," said Coleman. "We were so much in control it was untrue but in the last five minutes we just abandoned everything we had done.
"We gifted them three chances after they hadn't been near our goal for the other 44 minutes. We gave the ball away cheaply, invited them into our box and paid the price. We want locking up.
"I'm at the stage where I don't know if I can take much more disappointment. This seems to be happening time and time and time again and it always seems to be away from home, it's doing my head in.
"We are so sloppy with our finishing and then we get sloppy with our passing late on and all the good work gets undone in a blink. We've got to learn how to win, that's what we've got to drum into them."
Chesterfield manager John Sheridan is looking for his team to be more clinical in front of goal after they nearly paid the penalty for a string of missed chances.
He said: "We created some really good chances, they cleared three or four off the line, and I'm pleased for the players that they got something for their efforts but, just like on Saturday, we should have scored three or four goals.
"We keep creating chances but we should be more ruthless. As any manager will say, it makes life easier if you get the first goal.
"Rochdale had a lot of possession but other than the goal which was a wonder goal and a chance in the first half when the lad should have scored, I can't remember Tommy (Lee) having much to do. We created some really good chances and we've got to put them away because that's what good teams do."