Apart from the classical broad line region (BLR) at small core distances, and the extended classical narrow-line region (NLR), a subset of active galactic nuclei (AGN) show, in their spectra, lines from very highly ionised atoms, known as Coronal lines (CLs). The precise nature and origin of these CLs remain uncertain. Advances on this matter include the determination of the size and morphology of the CLR by means of optical HST and ground-based AO imaging/spectroscopy in a few AGNs. The results indicate CLRs with sizes varying from compact (~30 pc) to extended (~200 pc) emission and aligned preferentially with the direction of the lower ionisation cones seen in these sources. In this talk, we present results of a pioneering work aimed at studying the CLR in the near-infrared region on a selected sample of nearby AGNs. The excellent angular resolution of the data allowed us to resolve and map the extension of the coronal line gas and compare it to that emitting low- and mid-ionization lines. In most cases, the very good match between the radio emission and the CLR suggest that at least part of the high-ionization gas is jet-driven. Results from photoionization models where the central engine is the only source of energy input strongly fail at reproducing the observed line ratios, mainly at distances larger than 60 pc from the centre. We discuss here other processes that should be at work to enhance this energetic emission and suggest that the presence of coronal lines in AGNs is an unambiguous signature of feedback processes in these sources.