Coup: Do you lose your coins when trying to assassinate a Contessa?
Yes, you do lose the coins.  While the rules are not available online, this  action flowchart has been verified by the game's creator as being correct.  I'll go and try and find out what I've done with my copy and try and get a direct quote from the rules for you, but hopefully this should suffice.

Edit: Joe's comment is correct - although this is from the Coup: Reformation rulebook, it is under the basic rules, not the expansion rules.  On the fourth page, under the Counteractions heading, the last line reads "If an action is successfully counteracted, the action fails but any coins paid as the cost of the action remain spent.