Mr Coffin took off his stab-resistant vest and jumped on to the roof of a fishing boat to try to reach her. But the woman was too far away from the boat so he jumped more than four metres into the water.
"It was absolutely freezing - I didn't bother to take my boots or my uniform off and jumped straight in. I swam around to where she was next to the pier and held her head above the water. She was unresponsive and I was treading water, trying to hold her up."
Security guard Wayne Butcher also jumped in to help.
Mr Coffin said a colleague threw a life ring and someone else threw a rope that he looped under the woman's armpits.
"She was able to be hauled out of the water and I swam to another fishing boat nearby and climbed up the ladder."
Mr Coffin was treated by ambulance staff for mild hypothermia. He then went home to change into a dry uniform, "had a feed of Maccas" and went back on duty. He continued working in the West Quay bar area for the rest of his shift, breaking up potential brawls and fights. Mr Coffin downplayed the rescue.
"We do this sort of thing almost every day - it's nothing special. Anyone else would have done the same and when you see someone in danger, you want to help," he said.
The woman was treated at Hawke's Bay Hospital for hypothermia and was discharged later in the night. Police said she had been drinking before she fell into the water.