City fell two goals behind inside 30 minutes before Beth Mead pulled one back before half-time.
They improved after the break, with Ena Mahmutovic saving Bunny Shaw’s penalty before Carlotta Wamser equalised late on.
Coffey said her team can hold their heads high after battling back against unbeaten Bayern.
“Beth’s goal changed momentum going into half-time. We connected better and were more front footed in the second half,” the midfielder told club website.
“So it was huge to take that into half-time and continue to turn the game around.
“The half-time message was that we were in a good situation. We don’t want to concede two goals but we have to continue where we left off, and were in a good spot.
“We wanted to win the game so we’re disappointed we didn’t do, that but to come away from a really tough place with a draw is something we should be proud of.”