Coleman married Stephanie Ercklentz, the daughter of lawyer Enno Ercklentz Jr. and Mai Harrison and step-daughter of Ridgely W. Harrison Jr., at Bethesda-by-the-Sea, Palm Beach, Florida, in 2005. She is a Wellesley College graduate who worked in investment banking for Merrill Lynch and Marketing and PR for Anne Klein and Vera Wang. Ercklentz was featured in the film, "Born Rich", a 2003 documentary about growing up in the world's richest families. Her mother, Mai Harrison (née Vilms), is the grand-niece of Jüri Vilms, a member of the Estonian Salvation Committee and leader of the Estonian Independence Movement.