Coffey is a city in northern Daviess County, Missouri, United States. The population was 151 at the 2020 census. Coffey was originally called …Coffey is a city in northern Daviess County, Missouri, United States. The population was 151 at the 2020 census. Coffey was originally called Coffeyburg, and under the latter name was laid out in 1856 by B. H. Coffey, and named for him. A post office called Coffeysburg was established in 1867, and the name was changed to Coffey in 1910.