The 1-0 reverse was Dale's seventh loss in nine League Two matches and led to renewed calls for Coleman's head among a section of the Spotland faithful.
The former Accrington manager told the Manchester Evening News: "I said to the players after the game that I count Saturday as one of the five worst days of my life, and I include two of them as my mum and dad dying, so that is how much it means to me.
"Anyone who thinks it doesn't mean that much to me just doesn't know me.
"I feel for the fans and I feel for myself, because you are putting your trust in people and eight defeats in the last 11 games tells you that is misguided."
He added: "One thing I can assure people is I am not going to roll over and die. We will come out fighting again in the next game.
"Whatever is in my remit and within my power to do I will do.
"I have been in this league long enough to know that we can go on a run and win games, but we cannot play the way we did against Wimbledon."