The Real Madrid forward is unlikely to start Wales' qualifier against Serbia because of a groin injury but an incident in Skopje on Friday, when he was confronted on the pitch by two supporters as he warmed up with fellow substitutes during halftime, has caused security fears ahead of Tuesday's match.
The FAW has strengthened security measures around and inside the team hotel and has reviewed plans for the fixture at the Cardiff City Stadium.
"I am not used to this to be honest with you, having a player like that [Bale]," Coleman told reporters. "I managed Fulham with some good players but none of them went for 85 million pounds.
"I can understand the frenzy that comes with it and I have to get used to that. Gareth has to, we all have to. But there are people coming out of the woodwork wanting to see him and have an autograph, so we have to tighten up on everything and how we look at it.
"It’s something we need to deal with and get right. I would rather have the problem than not because it means he is playing for us. But it does come with problems."
Coleman also believes Bale could use some protection from the referee on the pitch.
"We do need protection," he added. "We are not asking for more protection than the next team but we have got to get some.
"I’m not saying Gareth Bale needs extra protection, he just needs a fair crack of the whip. The challenges can get a bit naughty, but that’s what the referee’s there for."