There aren't any official lockers—unless you want to pay extra for the privilege. I’d suggest just keeping your parka right by the entrance to Central Park, maybe once you hop off the shuttle bus that drops you off at the festival gates.
https://www.coachellavalleymusicandartsfestival.com/info/how-to-get-there
And yeah, that’s pretty much the whole deal.
https://www.coachellavalleymusicandartsfestival.com/info/how-to-get-there
And yeah, that’s pretty much the whole deal.