Donaldson gave the Bees a 21st-minute lead with a well-taken goal on the counter attacked before on-loan Sheffield Wednesday defender Martin Taylor headed home a Sam Saunders cross in the 68th minute.
Donaldson and Farid El Alagui could have made the margin of victory greater late on but Rosler was delighted with the win nonetheless.
He said: "It took us 10 or 15 minutes to realise that we had to defend from the top.
"We planned to do that all week. Coventry struggled to get their game going and we looked good on the counter.
"There were one or two periods in the second half where we kept the ball well too.
"It was encouraging to see that, even at 2-0, we kept going for the third and for the fourth."
On Grigg and Donaldson, Rosler added: "They did a very good job for the team and without them doing the job they did, we would have had problems.
"They limited Coventry's offensive options from the back and obviously they were dangerous with the ball.
"That is now the standard. I am very happy that they have reached that standard with how they linked up. I am delighted that we got a clean sheet form such a strong, strong team performance."
It was Coventry's first defeat at Sixfields and sees them remain in the bottom four at this early stage of the season, while Brentford are now within a point of the play-off places.