The United States Anti-Doping Agency (USADA) announced a backdated one-year ban on Gay, the joint second fastest man of all-time, earlier this month for testing positive for a banned anabolic steroid in 2013.
The 31-year-old American could have been suspended for two years for his first doping offence but received a shorter punishment because of his "substantial assistance" in the investigation of his case, the USADA said.
"Well, first of all the IAAF has to look at this case. We haven't had the opportunity to explore it properly," Coe told Reuters TV on Monday.
"We would need to know what 'significant assistance' meant. And it is for our anti-doping teams at our headquarters in Monaco and the anti-doping board to decide if the sanction is appropriate."
The USADA said Gay, who is eligible to race again from June 23, provided assistance "including being interviewed on several occasions by USADA and providing all of the products he was using at the time of his positive tests."
Coe would prefer athletes informing before being caught and not just cooperating afterwards.
"This is not just about athletes proving or testing positive, and then once they've tested positive, starting to talk and help agencies," said the former double Olympic champion.
"We would rather the athletes were helping, assist the agencies before they were tested or proven positive. For me, that's quite important.
"We need the co-operation of all athletes, and the most important aspect of testing is to protect the clean athlete," said Coe, who was the chairman of the 2012 London Olympics.
- Sports & Recreation