If I'm not mistaken coffee beans directly in the primary can extract the oils from the beans killing your head retention. One of my friends reported a thin layer of oil when she attempted to dry hop with whole coffee beans.
Cold brewing a coffee will extract more flavor and less oils/bitterness, leading to a fuller coffee flavor to mix with your brew. I plan on cold brewing a 1/2 gallon of zimbabwean beans into my porter. I'll report how it comes out.