The hosts took the lead against the run of play in the 29th minute when Joe Rafferty picked out Ashley Grimes and the in-form striker sent a half volley wide of Andy Warrington, his fifth goal in the last six games.
But the second half was all Rotherham, and they earned their rewards with late strikes from Kayode Odejayi and then Courtney Cameron in the 90th minute, leaving Coleman disappointed.
"Conceding late on was disappointing, but I was more disappointed with the way we let them bully us in the second half," he said. "We didn't pass the ball anywhere near as well as we can.
"At times it was attack against defence and without ever putting us under intense pressure, eventually when the ball has been bouncing around in your box for long enough they were going to get chances.
"Our goal from Ashley Grimes was fantastic and good enough to win any game, but I said to the players at half time it would be no good if we didn't go on to win the game
"I thought the referee was really strong until the last 15 minutes when he then seemed loath to give fouls, and that played into their hands."