I would feel uncomfortable with this and would ask him to stop. If he has coaching matters to discuss, these should be done before you are dismissed to the changing rooms or after everyone has changed and congregated in a non segregated area.
It's perfectly legal to have a male coach, but he does seem to be breaching accepted forms of conduct in these situations. Next time, he walks in, be brave and just call out for him to leave until you are all dressed. See how he likes to be embarrassed.