The guitarist told the Daily Mail that Britpop was a "grotesque travesty" that was "more about petty rivalries" than any genuine celebration of music.
Coxon said: "It was the climax to the so-called Blur/Oasis war. 'Country House' had outsold 'Roll With It' and went straight to the top of the charts. It felt like a hollow, pointless victory to me.
"Our record company threw a big champagne party at Soho House in London. I felt I was being forced into enjoying the moment and I just wanted to be alone really."
He added: "I couldn't handle being part of that crowd so I tried to jump out of a sixth-storey window.
"It was Damon who talked me out of it. Looking back, I should have enjoyed myself a lot more than I did during the Blur days."