Who says they can't? Most fishes can gulp air when there isn't enough dissolved oxygen in the water. Some, like gars, are better than others at it. Coelocanths normally do not because they live in deep water and usually die when brought up to the surface. However, if one were brought up slowly, it might be able to get much of its oxygen that way.

The coelacanth cannot breathe air for the same reason any other fish (except for a select few) cannot breathe air: they don't have lungs.

Fish use gills to extract oxygen from the water they live in, and are not built to extract oxygen from the air like an animal with lungs.