Simple AM radio - how to modify it so it can work without ferrite rod antenna?
Your coil in parallel with the variable capacitor works as a bandpass filter. Filtering just the station you want to hear. 
The frequency selected depends upon the capacitor and the coil. The formula for the frequency is f= 1/(2piCL) where C is the capacitor's capacitance, L is the coil's inductance and f is the frequency in hertzs.

When you are using a ferrite rod in a coil it increases the inductance of the coil. 

So just the coil without the ferrite rod has a much lower inductance and thus the frequency tuned is higher by the formula. Thats the reason you are receiving FM stations because they have a much higher frequency than AM stations.

For a normal AM air core coil you can wind copper wire 100 times around a toilet paper roll very tightly. It should give you enough inductance to tune in AM stations.

You can build  a  better air core coil to tune in the AM band using simple calculators as 
http://www.daycounter.com/Calculators/LC-Resonance-Calculator.phtml and
http://www.daycounter.com/Calculators/Air-Core-Inductor-Calculator.phtml