Firstly your except will never be reached... you don't "try" anything that will raise ValueError exception... Let me first show how to this, and then basically say that in this case you don't gain anything by using try/except:
coin_int = ("1p", "2p", "5p")
while True:
    coin_type = input("Input your coin: 1p, 2p, 5p etc.: ")
    try:
        coin_int.index(coin_type)
        print("value accepted, continuouing...")
        break
    except ValueError:
        print("That value of coin is not accepted, try again and choose from", coin_int)
But this is equivalent and in this case just as efficient (if not better actually both in performance and readability):
coin_int = ("1p", "2p", "5p")
while True:
    coin_type = input("Input your coin: 1p, 2p, 5p etc.: ")
    if coin_type in coin_int:
        print("value accepted, continuouing...")
        break
    else:
        print("That value of coin is not accepted, try again and choose from", coin_int)
If you really want to stop program execution then do any of the following in the except:
- raiseto raise the excception caught with default message
- raise ValueError("That value of coin is not accepted, try again and choose from", coin_int)which also can be used in the- elseto raise the specific exception with custom message