You can use on instead, yes, although it depends to some extent on what "they" are. Normally things which don't come out of the water, for example, fish or icebergs, would not be literally on the coast. There is a tendency to favor at in those cases, although on is also used with the understanding that these things are not really physically on the ground which borders the water.
New words, one handy idiom, and a 2-minute quiz — delivered to your inbox to keep your streak alive.