Steindl was missing as the squad left Glasgow Airport, having paid the price for his team's failure to qualify for the T20 World Cup. Next month the Scots will attempt to make amends by reaching the 50-over version and Steindl has sent a message of support to his former captain.
Coetzer said: "I've spoken to Pete and he told me we have to do whatever we can to qualify. He is as desperate as anyone that we should perform to the best of our ability.
"No-one can question Pete's work ethic and it is a measure of the man that he made an effort to speak to us. We're all extremely disappointed with what happened."
Coetzer added: "I have more reason than most to be grateful to Pete for what he has done for me. He first picked me for Scotland U13s when I was an 11-year-old and he has had a big influence all the way through my career. It's fair to say he made me the player I am and I can only thank him."
Cricket Scotland have still to officially confirm Steindl's departure but have placed former England and Scotland captains Paul Collingwood and Craig Wright in charge of the qualifying campaign. The Scots must finish in the top two of the 10-team event to reach the 2015 World Cup to be staged in Australia and New Zealand.
They open their campaign against Hong Kong on January 13 and also face Nepal, UAE and Canada in the group stages.
Coetzer said: "There are no easy games in international cricket these days but we're quietly confident we can qualify. The 50-over game and New Zealand conditions should suit us."