The 46-year-old, who extended his contract in May until the end of the 2018 World Cup, ruled out the possibility of switching country allegiances.
"It's something that would never, ever enter my thinking," Coleman told reporters as he prepares for Wales' first ever last four appearance at a senior international tournament.
"I'm a Welshman through and through. It would only ever be Wales."
The former Fulham and Real Sociedad manager added that his desire to manage in Europe's elite club competition could lure him to the continent rather than a return to the Premier League.
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"I quite fancy the chance of going abroad again, because I think that's my best chance of managing Champions League football," he added.
"If we're being honest, Champions League football in the Premier League, you're talking about the top, big, massive clubs and it's not something I think I'd get linked with.
"So my best chance of managing Champions League football would be abroad and it's an ambition of mine. To manage another country? No, I wouldn't. That's not something I would consider."
Hodgson resigned following four years at the helm immediately after England suffered and embarrassing 2-1 loss to Iceland in their Round of 16 encounter in Nice on June 27.
(Reporting by Nivedita Shankar in Bengaluru; Editing by John O'Brien)
