The political fallout of allowing these industries to fail (coal production and power generation make up a large portion of economic activity in many rural regions, with workers in these industries having little transferable skills.)
Strong protectionist incentives given that coal power is relatively cheap and can enable lower costs in energy intensive industries such as steel manufacturing.
Security of supply - having some domestic capacity is always preferable to being totally reliant on imports.
Opportunity cost - emissions tariffs have generally been on the increase so it makes sense to pollute whilst it's still relatively cheap.
With an ever-shrinking share of the market, coal is no longer financially sustainable - the stations are only used in times of absolute need. They are usually off, but the government pays to keep them available.
But most countries seem to be shifting to gas away from coal in the short term, wouldn't gas generation be better for that kind of situation, ie if you have mothballed gas and coal generation, why keep the coal around?
I'm unsure if its better from a storage point of view. Yes you can pile up coal in a field, but I'd prefer a tank of gas. And there should be infrastructure for storage left after households move away from gas heating.
I'm speaking from a UK POV, the model would seem to hold for Europe and North America at least.
Natural gas is basically methane, CH4, when you burn it you're making CO2 and H2O (water) and you get energy out from both these changes.
But coal is much nastier, not only is there nitrogen and sulfur in there (which are both going to produce poisonous gases you'll need to do something about) but the ratio of carbon to hydrogen is much worse so we produce far more CO2 for the same amount of energy production.
Shutting coal plants and building gas plants instead makes a big difference. Not enough of a difference to prevent catastrophic climate change, but a big step in the right direction compared to subsidising coal.
We hit a low point in '09, and a high point in '13 (but still below levels of '07). Coal usage has gone down ever since, and we're currently at a new low.
Germany also has (or at least had) huge incentives for renewable energy production, so it wasn't meant as a critique. Just wanted to note one source of increase that OP hadn't mentioned