Before his late heroics, it looked like Favre had reverted to old habits by trying to force something good to happen.
Favre, 40, finished with 28 completions on 40 pass attempts for 290 yards with two touchdowns.
Running back Leon Washington caught a touchdown pass and ran for another.
Coles made seven catches for 64 yards, while Jerricho Cotchery had nine receptions for 102 yards for the Jets (4-3), who have won three of four.
Kansas City's Tyler Thigpen completed 25-of-36 passes for 280 yards and two touchdowns in his second NFL start.
Wideout Dwayne Bowe caught six passes for 102 yards, while tight end Tony Gonzalez scored once after six catches for 79 yards in the Chiefs' third straight loss.
KC cornerback Brandon Flowers scored on a 91-yard, third-quarter interception return, which was his second in the contest.