Well formed crystals are very rare as coesite does not usually get much time to form crystal faces. It forms quickly at high pressures, above 20 kilobars. Where on Earth do you find such an environment? At a meteor impact site! Where the pressures are great but the overall temperature is not that high. And indeed it was at the meteorite crater in Arizona, called Meteor Crater, one of the most well studied meteor impact sites in the world, that the first tiny crystals of coesite, and its cousin stishovite, were found in nature. Coesite was actually first synthesized in 1953 before the discovery at Meteor Crater. Now the presence of coesite and stishovite is diagnostic evidence of a meteor impact when craters of unknown origin are examined. Coesite has also been identified in kimberlites where other high pressure minerals such as diamond are found.
The structure of coesite is composed of SiO4 tetrahedrons that are linked into four membered rings. The rings are then linked together into a chain-like structure. This structure is much more compact than the other members of the quartz group, except stishovite, and is reflected in the higher density and index of refraction.
Coesite is only metastable at normal surface temperatures; meaning that, if it could, it would slowly convert to the quartz structure. But this is a slow and complicated process taking thousands of years if it happens at all. It is a slow process mostly because the transformation involves the breaking of bonds and the rearrangement of atoms.