Many years ago, it was common to attribute coccyx pain to psychological causes. Doctors used to regard it as a 'heart-sink' condition - the doctor's heart sinks because the patient keeps coming back, and the doctor feels helpless. The response of some doctors to this challenge to their competence was to blame the patient, hence 'you're imagining it'.
More recently, effective treatments have been demonstrated, and doctors who had treated 120 patients whose pain had lasted for up to 10 years reported: 'The condition is genuine and distressing and we found no evidence of neurosis in our patients'.
If your doctor tells you your pain is not real, do not punch him on the nose and tell him he's imagining the pain. It won't help. Just get another doctor. If possible, visit a specialist recommended by other patients.