Collins was not included in Coleman's squad for the World Cup qualifying double-header against Macedonia and the Serbs.
But with Ashley Williams suspended and Sam Ricketts injured for the second game, the Wales boss turned to the experienced centre-half. But Collins rejected the approach.
Coleman said: "James explained to me that he didn't want to come into the squad after being on stand-by because psychologically he was disappointed. But that's not the attitude I'm looking for."
Swansea left-back Ben Davies was pressed into a central role alongside Danny Gabbidon as a result, as Wales ended up suffering a 3-0 reverse, their heaviest home loss for seven years.
"I'd rather someone turns around to me and says, 'I should be in the squad, you got it wrong and I'm going to roll my sleeves up to prove you wrong'. That's what I'm looking for and I didn't get that," added Coleman.
"James Collins is not the reason we lost. The reason we lost is we were outplayed by a better team and we didn't perform and that's something we need to look at."