For coyotes, I would recommend a little larger caliber, probably a .22 centerfire, like a .223 or .22-250. Smaller bullets may limit your shot opportunities.

Sounds like the coyote came in, sniffed you out, and then left. Always try to find a spot where you have good visibility, especially downwind. You want to set up so that youlocate the coyote before he locates you.

Sinceyou didn't shoot at him, you may have a little better luck calling him in the next time. It's easier to call them back in if they weren't shot at the last time they came in. Give him a while to forget, then try a different call and try him again.