The skipper praised full-back Matt Doherty for the way he handled his emotions to level against Sheffield United after hearing the tragic news of the best friend Afobe’s two-year-old daughter.
Doherty dedicated his 63rd minute goal to the Afobe family by kissing his black armband in the 1-1 draw.
And Coady said: “I think if we were going to score, it was always going to be Doc because it was quite emotional for him in terms of everything around it. We were all very close to Benik with what has happened, we were all quite shaken by it.
“But especially Doc, because he is best friends with him.
“He spends a lot of time with Benik so it is credit to him and how he goes about his business.”
Afobe enjoyed a good relationship with Wolves fans during his spells at Molineux, who chanted their support on Sunday.
Coady added: “It is a really terrible time, a lot of the players were close to him, the supporters loved Benik and you could hear them singing his name.
“Rightly so, they are a lovely family and everyone is thinking of them.
“Benik was a massive part of the club when he was here.
“He is a fantastic person and a great friend to a lot of people in our changing room.
“In the time he spent here, we all grew close to him.
“I could not tell you what will be going through Benik and Lois’s heads at this moment in time.
“But what I can promise is that we are all with him and we all think about him every single day.
“We all have children and I cannot imagine what is going through his head.”
Wolves boss Nuno Espirito Santo also paid his respects.
He said: “Matt has a very close relationship with Benik. He’s his friend.
“We knew about it.
“Benik was with us and we are very sorry.
“The respects from all of us go to the family and to Benik to be strong.
“We wish him all the best.
“Matt is going to visit him now. It’s a very strong friendship.”