For me, the use of THE or A here is about specificity and whether it is a singularity.
A coast would indicate a general idea, much like saying "I live on a hill". So you have some non specific idea about where I live and that could be fine. "Yeah me too, we live on a hill and we get great views too!"
But if I were to say "I live on the hill." (as a first reference, rather a specification like "I live on the second biggest hill in the area") what would you think?
Well, that there is ONE hill in the area. It is THE hill.
Now a feature about coasts is that there is [generally] only one in the area, so it is always going to be referred to as 'the'. If you live in some less typical geographical feature, I bet local people say, "the north coast" etc.
Just for another example. We could say "I live on a lake" because there could be many.
Or ONCE WE KNOW in what country a person lives in, then they could say "I live near THE capital."
EDIT : using "a coast"
Google search throws up...
it is also possible to have very swift tidal currents on a coast where the tidal range is
But I have to admit using "a coast" in a non-technical way is much less common.