The report came shortly after Dave Tippett was introduced as the new head coach.
This is one of several management changes the team has made after finishing 14th in the Western Conference this season while missing the playoffs for the second consecutive year.
The three-time Norris Trophy winner was hired in January 2018 by former general manager Peter Chiarelli and joined former teammates Wayne Gretzky and Kevin Lowe - the current vice chairs of the Oilers. The trio won three Stanley Cups together in Edmonton during the 1980s dynasty.
Coffey was inducted into the Hall of Fame in 2004.