The Latics were undone by Andrew Crofts' 72nd-minute header - soon after substitute Holt had missed a one-on-one with Brighton goalkeeper Tomasz Kuzsczak.
It was Wigan's first home defeat of the season in all competitions and it means that Holt has scored just twice for the Latics since his £2million summer move and has not found the net since late August.
Coyle however believes his centre-forward will soon hit the goal trail again, but he did admit he is on the look-out for reinforcements to his attack.
"There's a bit of anger because we'd been unbeaten here and wanted that to continue," he said.
"You can feel sorry for yourself or bounce back quickly, and that's what we'll do.
"We have to be ruthless and more clinical. We will continue to try and add to the striking department.
"Grant Holt doesn't lack confidence, he's a great lad. He's an outstanding player and will score many goals for Wigan, I've got no doubt about that. Of course he was disappointed.
"To be fair [the one-on-one] was of his own making, he's robbed the boy, and nine times out of 10 that would finish in the back of the net for Grant.
"We win as a team and stick together on horrible days like this.
"Over the balance of the game did we deserve to lose? No. But if you pass up chances you could get caught with a sucker punch."
For Brighton it was a third straight win in the Championship as Oscar Garcia's men chase a place in the play-offs and it could have been more comfortable for the Seagulls had Wigan keeper Lee Nicholls not saved smartly from both Jake Forster-Caskey and Craig Conway.
"I am very pleased and proud of my players because of them gave 100 per cent and if you don't word hard it's impossible to win here," said Garcia.
"I'm pleased because no other team has won here and to be the first to do it means a lot to us.
"We had some good chances to score and they had one or two but we took our chance and it made the difference.
"All the players did very well and did their job and I'm proud of not only those that played but the substitutes - they were practising really hard this week.
"For us it's also important to have players coming back from injury as well.
"What we are trying to do is tell the players they have to show their abilities on the pitch and in training sessions.
"I don't want to speak about individuals because I want to talk about the group."