Montella scored in the 3-0 win over Stoke City in the FA Cup.
Coleman said: “He has a long lucrative contract at Roma and we know he has got to go back at the end of the season.
“He is here because he wants to play football and sample living in London – and we are glad to have him.
“He helped make two other goals today and the most important thing after that was to rest him because we have a really tough game at Sheffield United on Tuesday.”
Coleman added: “Vincenzo has scored goals wherever he has been and everybody knows about him.
“There were several clubs after him when he couldn’t get into Roma’s team, which had Francesco Totti as a lone striker.
“He has fitted in very well in the dressing room, the players and the crowd love him and he’s every inch a professional in all he does.
“He has not been back to Italy yet since he arrived and he’s going to an interpreter three times a week to learn English.”