Something like Febreeze will freshen it up by replacing the smell with another smell but do you want to walk round smelling Febreeze all day? The problem is that certain textiles do have the ability to absorb odour molecules, which they will also slowly give up. My advice would be to hang it in a very warm dry place like an airing cupboard for a few days to air it off.
If it's a decent wool coat. wear it and smell fusty with pride as that's how our ancestors must have smelled in the centuries before motor cars, heating, frequent showers and warm, dry houses.