Coe studies the physics and chemistry of aerosols in the atmosphere, including the part they play in climate change through interactions with clouds and solar radiation. He also studies the role of aerosols in the transport of air pollution, including regional and transboundary (long-distance) pollution caused by biomass burning and atmospheric dust. Coe has worked on air pollution studies in the UK, India, and China, and was the principal investigator of a major study into air pollution in the Indo-Gangetic Plain.
Coe has also helped to develop new analytic techniques for studying air pollution. These include "transformative" approaches to aerosol mass spectrometry, which have led to "an unprecedented understanding of the global distribution of atmospheric fine particulate matter composition", and using the single particle soot photometer for studying how particulates are transported.