Abstract To a coarse structure we associate a Grothendieck topology which is determined by coarse covers. A coarse map between coarse spaces gives rise to a morphism of Grothendieck topologies. This way we define sheaves and sheaf cohomology on coarse spaces. We obtain that sheaf cohomology is a functor on the coarse category: if two coarse maps are close they induce the same map in cohomology. There is a coarse version of a Mayer-Vietoris sequence and for every inclusion of coarse spaces there is a coarse version of relative cohomology. Cohomology with constant coefficients can be computed using the number of ends of a coarse space.