The comedian and actor also today claimed that reporters had dug through his rubbish bins searching for "lurid" details of his private life.
He further denied a story published in the Daily Mail in 2007 which claimed that he took drugs with the US actor Owen Wilson.
Coogan, who alongside fellow actor Hugh Grant has been an outspoken critic of press intrusion, appeared today before the Lord Justice Leveson inquiry into press standards.
The actor said that some people had entered into a "Faustian pact" with the media, in that they had given up some of their privacy for fame and fortune. However, he said that he had never sought out stardom and had always tried to keep his family private.
"I have never set myself up as a paragon of virtue. I like to keep myself private," said Coogan.
He added: "I create characters in the public, I keep myself private."
The actor, probably best known for creating the Alan Partridge character, said that photographers often camped outside his flat in the hope of a story. He said he had also seen reporters going through his rubbish bins searching for damning evidence.
"I saw them from my bedroom window," he said in response to questions from Robert Jay, QC, "They did not look like tramps - not far off."
Considering why he thought newspapers would go to any lengths to publish a news story, Coogan said: "It's like the mafia, it's just business."
In today's session at the high court, Coogan made fewer specific allegations than Grant, who yesterday ruffled feathers by claiming the Mail on Sunday had hacked his phone for a story on his relationship with Jemima Khan.
Footballer Garry Flitcroft also today suggested that the People newspaper may have hacked his phone for a story, although he admitted that there was no firm evidence to support this.
Coogan noted that some parts of his private life did not meet with the approval of tabloid editors, but he added: "I do not believe that gives them the right to hack my voicemail, intrude into my privacy or the privacy of people who know me, or print damaging lies."
He referred to a 2007 article published in the Daily Mail bearing the headline, 'Steve Coogan blamed for Owen Wilson's drug spiral', suggesting that he had taken drugs with the actor.
Coogan admitted that Wilson was a "friend", but said that he had not even been on the same continent as Wilson in the nine months before the American allegedly attempted suicide. He also denied ever taking drugs with him.
> Steve Coogan: Daily Mail trades on people's worst fears
Coogan noted that the old adage of "today's stories are tomorrow's fish and chip paper" no longer applied in a digital world where stories are "there forever".
Asked why he did not challenge the Daily Mail article at the time, Coogan said that he did not want to add fuel to the story by responding, and also said that it was "cheaper to do nothing".
Coogan repeated previous allegations that former News of the World editor Andy Coulson was personally responsible for an attempt to trick him into admitting that he had slept with a dancer.
He said that the move, involving a woman calling Coogan while Coulson listened in, was foiled after he was tipped off by the News of the World's former showbusiness editor Rav Singh, enabling him to "play the call with a straight bat".
> Steve Coogan: I will not let Rupert Murdoch's News Corp bury the phone hacking scandal
The actor made few direct allegations about phone hacking, but did say that newspapers often would obtain information via illegal means and then try to pressure the subjects into confirming the details.
He gave the example of a woman he was seeing in 2005, who was contacted by journalists and urged to sell her story after they had allegedly learned of the affair by hacking Coogan's phone.
"In the case of the girl I was seeing in 2005, they tried to get her to sell her story using information that was in messages that I had left for her and she had left for me," he said.
"At the time, I couldn't understand [how they got the information]. They knew that they could not publish that information, so they tried to get her to admit it."
He added: "They would say, 'We are going to run a story, it's going to make you look tawdry and awful, but if you talk to us, we can make you look lovely... and we will give you some money as well. We know what happened'."
Coogan said that he had been the subject of "several" kiss-and-tell stories over the years, meaning his closet was now "empty of skeletons" due to the press coverage.
"I'm not someone who wants to get involved in waving a banner for the right to privacy, but not many other people similar to me were doing it," he said.
"The reason other - for want of a better word - 'celebrities' don't want to, is that they say they don't have the stomach for it and fear what will happen. My closet is empty of skeletons due to the press, so admittedly, I'm immune in some ways."
Coogan said that he wished the press "could regulate themselves", but he feels that a privacy law is required "so genuine journalism is not besmirched by this tawdry muckraking".
He said that the law would protect privacy unless there was a specific public interest, and any transgressions would be punished "meaningfully", as some newspapers factor in the cost of resulting legal action and "can afford to take the hit".