Coleman had missed Wales' final preparations for the fixture after having to obtain a replacement travel document and then fly to Skopje from Heathrow via Vienna late on Thursday.
Things got worse for the Wales boss when Ivan Trickovski fired the home side in front against the run of play in the 21st minute.
The excellent Aaron Ramsey equalised from the penalty spot for the Dragons, but substitute Aleksandar Trajkovski struck the winner 10 minutes from time.
But when asked if he was planning to apologise over the passport incident, Coleman, who is set to sign a contract extension in the coming days, replied: "To who? What are you talking about?
"What you don't know is what we do day to day. If you stood around and watched us play you'd see what we do when we go away. It's next to nothing.
"All the work had been done. You make of it what you want.
"If we'd won you wouldn't make much out of it, but you will because we lost and that's up to you.
"We lost a game where we played very well."
Coleman had named Bale on the bench at the end of a week which started with the 24-year-old being unveiled at the Bernabeu as the most expensive player in the world after joining Real Madrid.
Coleman had made it clear he would take no risks with Bale's fitness as his star man had not played since July, and he did not turn to the former Tottenham man as Wales trailed 2-1 inside the final 10 minutes, later insisting he was not fit enough to play any part.
Coleman said: "He is not fit, so we could not use him. He is not ready. We couldn't take a chance. It was nice to have him with us but you have to reach a certain level before you are considered.
"If there was any chance he'd have come on the pitch. It would have been ideal in the last 20 minutes - but he wasn't."
When pressed on whether bringing Bale on could have salvaged a result for his side, Coleman said: "What part of he's not fit are you not listening to? Why bring him on if he's not fit?
"You think I would not have used him if he was fit?
"I don't mind what other people think. What I look at is the opposition. If I'm the opposition manager and Bale is on the bench, maybe it would affect his thinking.
"If he was fit he would have played. I spoke to him today, he is not ready. Simple.
"I haven't conned the supporters to say he might play. If there was a chance he would have played, but there wasn't. We can't take the risk."
- Sports & Recreation