There is no law requiring anyone to take out any form of insurance on any holiday, whether in the UK or abroad.
However, anyone who sells you anything is (with only a few exceptions) permitted to define the conditions under which they'll let the sale go ahead. So the coach company is probably entitled to insist that you take out insurance as one of their conditions of sale and carriage.
Even so, I doubt that they can insist that you take out their insurance (unless the holiday is only offered at an price which automatically includes insurance for all travellers). You should be able to 'shop around'.
Chris