Coffey was elected as a councillor to Stockport Metropolitan Borough Council in 1984 and was its Labour group leader 1988–92, stepping down from the council in 1992. She contested the parliamentary seat of Cheadle at the 1987 General Election, and finished in third place, some 25,000 votes behind the sitting Conservative MP Stephen Day. She was selected to contest the Conservative-held marginal Stockport constituency at the 1992 General Election; she defeated the sitting Conservative MP Tony Favell by 1,422 votes and has remained the MP for the seat since then. She made her maiden speech on 12 May 1992.