This is a difference in meaning, and in particular the meaning of "expensive".
Would you say "It is expensive" or "It was expensive"?
If by "expensive" you mean "the cost when you bought it" the this is a past fact you are talking about. Since it is in the past (and modal verbs don't have a past tense) you need to use the perfect "must have been". "It must have been expensive" means "I think it was costly when you bought it". In this sense you would not say "It is expensive", but "It was expensive"
If, on the other hand, by "expensive" you mean "high quality and so valuable". Then it makes sense to say "It is expensive" since we are talking about the coat as it is now. In which case it is fine to say "It must be expensive", to mean "I think it is valuable".