In addition to playing, Volzhin has been a coach of a number of outstanding players, including Evgeny Bareev, Almira Skripchenko, Ekaterina Kovalevskaya, and Iweta Rajlich. Also, Volzhin has been a coach of the Russian national women's team during Chess Olympiads in Elista in 1998 (under the head coach Naum Rashkovsky, silver medal) and in Istanbul in 2000 (under the head coach Yuri Yakovich, bronze medal).