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.