Now they are one of the elite it is the likes of League One MK Dons who will be looking to create an upset.
"I've said to the players that they have to recognise that MK Dons will be filling the shoes we are normally in," said Coyle.
"They have some very good players and it will be a tough game.
"I don't think you ever relax and, when all said and done, you want to win an FA Cup tie.
"We are away from home, MK Dons will be fired up and want to take our scalp so we have to make sure we are at our best."
Coyle enjoyed the FA Cup as a player with Bolton, but is wary of the threat a third-round tie against lower-placed opposition presents.
"I remember we played Gretna from the Unibond League at Burnden we were 2-1 down with eight minutes to go and I think I managed to score twice," he said.
"We then went on to beat Lincoln, Everton, Arsenal (the holders) and Aston Villa before losing a quarter-final to Oldham, who were a Premier League side at the time.
"Those are fantastic memories but it would have been very easy to have been knocked out in the third round against Gretna.
"That shows you the beauty of the cup. We could have been knocked out by a non-league side and yet we went on to beat the holders in style (3-1 in a replay at Highbury after a 2-2 draw)."
Coyle is without three defenders for Saturday's tie with both first-choice full-backs Tyrone Mears and Stephen Jordan suspended and captain Steven Caldwell out for a month with a groin problem.
Clarke Carlisle is back in training after his groin injury but, with Premier League survival the priority, Coyle will bring in some fringe players.
"There will be a number of changes. We'll look to freshen it up and someone will get an opportunity," said the Scot.
"There are good players waiting in the wings and it is up to them, when they come in, to wear the jersey with pride and show the quality which brought them to the club in the first place.
"We'll probably bring in some of the younger players we signed in the summer.
"The reason we paid £250,000-£300,000 is because, for that, you don't get ready-made players for the Premier League.
"We spent that money on young players we felt could develop. Some of them played in the Carling Cup earlier in the season and we will look to have a freshness to our team as enforced changes have to be made."
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