'Wij hebben koffie' implies possession of coffee, not the action of drinking it.
'We are having coffee' would be closer to 'Wij zijn koffie aan het drinken' (We are drinking coffee) or 'Wij drinken koffie' (we drink coffee).
I wrote "we" and not "wij" and they said it was incorrect. Aren't they basically the same in this kind of sentence? I know that "wij" is used for emphasis though, as in "WE have coffee."