A leash is always better. Coyotes are chickenshits (there might be some sort of Schutzhund III coyotes out there but it's not the norm). Even if your dog is on an 6 ft lead it is unlikely a coyote will come that close. If it does grab your dog, you can kick the crap out of it and it will run. Again, generalization, but this is not a pit bull, it's a wild animal, it specializes in survival, which in most cases involves not getting hurt.
Without a leash, your dog doesn't stand much of a chance. Your dog is running around, the coyote is chasing it and you don't have any control of the situation.
And what Renee said.
And sorry about Jessica Simpson's dog, that's really sad.