Bellamy confirmed on Tuesday that he will quit international football after Wales' final World Cup qualifiers.
The 34-year-old, who goes into the forthcoming double-header against Macedonia and Belgium with 76 caps, will leave the scene as his country's third highest appearance maker behind Neville Southall and Gary Speed.
Such a decision was widely anticipated, but Coleman has revealed he did not discuss the timing or manner of the announcement with the Cardiff forward in advance.
When asked if the pair had spoken to discuss Bellamy's retirement, he replied: "The first time I saw that was definite was when I read it in a newspaper.
"Look, let's have it right, the whole campaign... we never had him at the start, there were other things going on, then he was back in and he has hinted it would be his last campaign, so it's not a big surprise.
"In the back of my mind, I've been planning going forward, if I am going to be here, without Craig anyway.
"It's no big surprise. Craig has done numerous articles expressing what he thinks."
Coleman's own future remains up in the air, despite reaching a verbal agreement with Football Association of Wales chiefs over a two-year contract extension.
With Wales bottom of Group A, the FAW want to assess performances in the final qualifiers - thus irritating Coleman, who has suffered 10 withdrawals from his original 23-man squad.
"You do need [the complete backing of the Welsh FA]," said Coleman. "If people are talking about judging me on these two games, then what's the point? You can't go about it like that.
"I have said before, if that is the case I won't be the man to lead Wales forward because I am not sure if I would want to be involved in that set-up.
"I have said that to the committee, and I have said it in a press conference, because I don't think you can plan like that, you have to look longer."
Added to that is the fact Bellamy - who has already completed his UEFA 'A' licence - has emerged as a contender to replace him. Tony Pulis and Ryan Giggs have also been mooted as potential successors.
One request made by the FAW is that Coleman should shake up his choice of coaching assistants.
He added: "I was asked to change my backroom staff, I was not put under pressure, it wasn't just in the last meeting... it happens all the time.
"I get asked loads of questions about my staff, the players and the work I do travelling around Wales.
"If you bring in anybody, they get judged on results. In the whole campaign, we have had just two bad performances and in the others we have been stretched. We have had some great performances, some good results and some defeats as well and you are judged on them.
"If you are manager of a club, the chairman has every right to ask you a question, and the FAW the same can ask what about this or that.
"But I remember (Gary) Speed when he took the job, a lot was said about his staff. They did not do well in the first five games but then they went on a run and nothing is mentioned. But I understand the nature of the FAW wanting to ask me questions.
"I have seen how things can go from one direction to another in 10 days on the basis of two bad results."