Sheffield Wednesday keeper Lee Grant made two superb saves in the last 15 minutes to earn his side a point.
Grant saved Michael Mifsud's 12-yard shot before brilliantly tipping the Malta striker's 20-yard effort around the post.
Coventry keeper Kasper Schmeichel had been the star of the first half by denying Frank Songo'o shortly before the interval.
The result means Sheffield Wednesday stay 22nd, a place below Coventry.
Coventry manager Chris Coleman: "We had opportunities to win the game but they were opportunities missed.
"Sometimes it is easier to say that you have not played well and not created because you know that there are areas on which you can improve.
"You could sense an edginess when we attack and we are scared of situations where we might miss."
Sheffield Wednesday manager Brian Laws: "On current form we have as good a chance of anybody of surviving. It's a better result for us than it is for Coventry no doubt about it.
"Over the last six or seven games we're probably one of the most in-form teams and we won't get out of this position unless we work really hard, which we did.
"Our defence has been excellent in the second half of the season but unfortunately up front we haven't matched our defence."
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