HF! Has that come loose by itself? Not in any way safe to drive the car until the whole upper ball joint assembly is put right one way or another.
Worst case but if the ball joint shaft or its thread is damaged then it may mean replacing the whole upper control arm since they're not usually sold separately.
http://www.mx5parts.co.uk/front-upper-w ... p-979.html but second hand off a lowish mileage car should be OK too.
If it's happened on one ball joint then I'd get someone to check over everything done in the coilover change. I get a bit paranoid about things that mean wheels or suspension falls off while driving.