On some level, that is true. I think I actually made that macroeconomic humility/futility argument on this board a few years ago in a similar topic about conservation. However, we already know coal is in long term decline. I wish I could say that marginal pressure won't result in another coal plant being built, but who knows. On the flip side, the marginal pressure from power customers could pressure the shutdown of coal even faster.
You can make a virtue ethics(?) argument: it actually makes a big difference to your overall carbon impact. And, if enough people did that, coal power would affect real estate values, and that might cascade.
Also, by not living close to a coal plant, you improve your overall health.