It was always going to be a difficult fixture for the Wales players and management given the nature of the occasion as they remembered their former manager, who died in November.
Coleman said: "It was difficult. But it wasn't about me or the players tonight it was about Gary Speed."
Prior to kick-off there were performances from several Welsh artists, while Speed's sons Ed and Tom led the side out along with captain for the night Craig Bellamy.
At one end of the ground cards were held aloft to reveal the name 'Gary' on the background of a Welsh flag as the anthem was played with a solemn Bellamy arm in arm with his late friend's sons, while a minute's applause was also held in honour of Speed and two spontaneous standing ovations took place during the 90 minutes.
But Wales, who were without the injured Aaron Ramsey and Gareth Bale, could not secure the victory they and their supporters so desperately wanted as Joel Campbell's cool seventh-minute finish from Bryan Ruiz's pass was enough to give Costa Rica, the opponents when Speed won the first of his 85 caps in 1990, the win.
And Coleman said: "It has been an incredibly tough night, it really was for the players. But I feel selfish for saying that as tonight was for Speed's family, his wife, his Mam, his Dad and his boys. We were slow and rusty, especially in that first 20 minutes and we gave away a sloppy goal. We were a bit better after that, we had some good spells but couldn't find the goal."
And a tearful Coleman revealed how Ed Speed had addressed his players in the changing room after the game.
"Ed and Tom, what a credit to Gary they are. Ed has come into the dressing room after the game and he gave a speech which anybody would have been proud of. There was not a tear in his eyes, he was strong as an ox," Coleman said.
"He came in and he said 'My Dad always said to me that if you do your best it's enough, and I think you lot did your best tonight'. What do you say to that from a 14-year-old who has just lost his Dad? That's bravery, isn't it?"