Hi. You'll just want to assign the coax input to whatever input selection you use for your blu-ray player. I got the impression that the Sony replaced an older blu-ray player. If that's the case, then I'm guessing that you have one of the optical audio inputs assigned to the source that you use for the blu-ray player. You'd just go into the Denon menu and assign the coax input for audio versus the optical input.
By coincidence, I just purchased the same Sony model (well, it is the Costco version of the S5100, which has a Costco-only number).
It WAS a little surprising to me that Sony decided to provide a digital coax output, instead of an optical output (for us folks with older AVRs that don't haved HDMI).
My receiver is a Yamaha, but your Denon may be similar. In my case, the receiver has three optical digital audio inputs, plus two digital coax. The digital coax inputs are "paired" or associated with two of the three optical inputs. So when the input labeled "DVD" is selected, the receiver automatically detects which of the coax or optical inputs has a signal on it, and uses it. If both are present for some reason, it defaults to the coax one. Interestingly, the one optical input that doesn't have a paired coax input, is the one that is labeled as being for the cable box. Maybe cable boxes were typically providing optical output, but not coax.... (Note that even though Yamaha chose to label these inputs with names, they're all the same, and don't really care what's connected. It just has to do with the default button labels, etc.)
One thing that I did with my old blu-ray (which also had stereo analog audio outputs), is that I ran those to the "CD" analog inputs of the receiver, in addition to the optical audio connection (which the receiver viewed as being from a DVD player). This way I could have different default receiver settings for when I was playing a CD. (For CD listening, I basically used regular stereo, in a straight-through mode of the receiver, with no processing.). Of course, this isn't possible with the new Sony player, since it has no analog outputs of any kind. So now, if I want to listen to a CD in the pass-through mode, I'll have to select it from the remote.