Coffey was drafted by the Cincinnati Reds in the 41st round of the 1998 Major League Baseball draft out of Chase High School in Forest City, North Carolina. A draft-and-follow prospect, Coffey signed with the Reds for a $1,000 signing bonus and $850 monthly salary. Coffey missed the 2000 season because of an elbow injury and remained in the Reds minor league system through 2005. He made his major league debut on April 19, 2005, pitching two innings and giving up two runs against the Chicago Cubs. He picked up his first win in a two inning relief appearance against the San Diego Padres on May 10, 2005 and his first save against the Pittsburgh Pirates on August 28, 2005. Overall, he spent four years with the Reds and pitched in 213 games, with a 12-9 record and 4.62 ERA and 9 saves, 8 of which he recorded in 2006.
Milwaukee Brewers
On September 9, 2008, Coffey was designated for assignment by the Reds and claimed by the Milwaukee Brewers on September 12. On April 22, 2009, Coffey made an appearance as the closer for the Brewers; he held the role until Trevor Hoffman returned from an injury. He picked up two saves in that role, while also suffering 2 blown saves. He remained with the Brewers through 2010 and was 2-4 with a 4.76 ERA in 69 games. On December 2, 2010, the Brewers announced the team would not offer him arbitration and he became a free agent.
Washington Nationals
Coffey signed with the Washington Nationals on January 24, 2011. He finished the year with a 3.62 ERA and 5-1 record in 69 games before again becoming a free agent.
Los Angeles Dodgers
On February 3, 2012, Coffey signed a one-year, $1 million contract with the Los Angeles Dodgers that contained a 2013 club option worth $2.5 million. Coffey pitched in 23 games for the Dodgers, with an ERA of 4.66. However, on July 2, Coffey injured his shoulder while pitching against the Cincinnati Reds. On July 3, it was announced that Coffey would undergo Tommy John surgery for the second time of his career and miss the rest of the 2012 season. The Dodgers declined his 2013 option on October 29, 2012.
On May 20, 2014, Coffey signed a minor league deal with the Seattle Mariners. Coffey passed his physical on May 22, making the deal official. He served as the closer for the Mariners' Triple-A team the Tacoma Rainiers for the remainder of the season, and was released on 4 September.
Coffey mainly threw two pitches: a sinking fastball that went up to 95–96 mph, and a sharp dropping slider at 81–82 mph. He was known for his full-speed sprints from the bullpen to the mound when he was brought into games. As a result, the Brewers introduced a "Coffey Time!" graphic on the scoreboard that kept track of Coffey's time to sprint from the bullpen to the pitcher's mound after getting called out to pitch.
