Not sure if you are aware of this or not, so I'll throw this out there, but there are two kinds of coaching. Coaching for performance and coaching for development. The latter is not considered a bad thing by leadership. It's literally "We like this person, let's help them improve by focusing on one or more of their opportunities."
Of course, if you are being coached for performance, yeah it's a downer. But just acknowledge where you can improve (There's ALWAYS room for improvement in Target's eyes) and focus on that.