Coleman, who has since taken charge of Chinese club Hebei Fortune, put his plight in the North-East down to bad timing.
"I don't worry about what anyone says. I failed in my first campaign with Wales and I didn't listen to anyone then," he told The Sun.
"We were successful in France [at Euro 2016] but I didn't listen to anyone then either.
"Yes, I fell on my face at Sunderland. I don't regret taking the Sunderland job.
"It was just the right club but at the wrong time but this is another job, a new challenge and I'm going to give it my best shot."
Coleman took over at Hebei Fortune last month, succeeding current West Ham United boss Manuel Pellegrini at the helm.