Technically you're not sending it to your Mist wallet. You're sending it to another Ethereum address. Mist just helps you create accounts/addresses that are recognized by the Ethereum node that's embedded in Mist.
I have not used coinbase to send Ether. But I assume that coinbase provides some kind of a form to send Ether. In that form, you want to specify the address you want to send Ether to. That address should be one that you have in Mist.
NOTE: Before you hit the send button, double and triple check the address you are sending TO. If you send to the wrong address you've lost that money forever