The American athlete has served a four-year doping ban, leading to Olympic discus champion Robert Harting asking to be removed from the 10-strong short list.
"I think you'd be pretty surprised if I did sit here and was sanguine about that," Coe said when asked on Tuesday about Gatlin's inclusion on the IAAF list at the Securing Sport conference in London. "I personally have big problems with that."
Voting is open until Oct. 16 for athletes, officials, member federations and media to decide three finalists for the award, with marathon world record holder Dennis Kimetto of Kenya and pole vault indoor record holder Renaud Lavillenie of France also on the short list. The winners will be chosen by the IAAF's ruling council and announced on Nov. 21.
Gatlin, the 2004 Olympic 100-meter gold medallist tested positive for excessive testosterone in 2006, and was reinstated in 2010 after serving his ban.
This year, the 32-year-old Gatlin set the world's best times over both 100 metres, with 9.77 seconds, and 200 metres, with 19.68.