After upgrading the Cobertura plugin from 1.5 to 1.9.3, the coverage.xml is no longer being generated. Rolling back to 1.5 fixes this.
I also noticed after the upgrade that the following message no longer appears in the build log:
[JENKINS] Configuring cobertura-maven-plugin to enable xml reports
I'm not sure what is responsible for that message and it enabling the xml reports, but that seems to no longer happen after the upgrade.