Cinnamon roll has sugar cinnamon filling rolled inside. Then is iced with a glaze.
Sticky bun is a cinnamon roll baked in a pan that had a caramel glaze that often includes nuts, in the bottom. In the US it’s traditionally made with pecans. But you can make a sticky bun without the nuts. The homemade version of sticky buns tend to grossly overdo the amount of caramel glaze. The amount of glaze is cloyingly sweet, it renders the buns inedible.
I don’t know what a coffee roll is. We have coffee cake, both a yeast version or a batter cake with a streusel topping.