I say keep the coat. Continue to see him as a client if you like him, but tell him that while you are grateful for the beautiful coat and like having him as a client, you aren't interested in a relationship, just so he knows.
I mean, if you are interested in a mistress relationship, go for it, but if you're not, just tell him that upfront. If he complains, then you can say you'll return the coat, and it is unlikely he will take it back. He may or may not keep coming as a client (pardon the pun).
I've dated SP's before outside of work. If you don't want that, just tell him upfront if he asks you to come to his house to hang out. If a guy is looking for a mistress or g/f in his SP, it is up to her to decide if she wants that or not and tell him. Every SP is different...I've seen SP's who very much are looking for a mistress relationship with one rich client.
If he is upset over his divorce and he is looking for the second Mrs. Big and he thinks you are hot and nice and fit the bill quite nicely, thank you (and I clicked on your pics and you are HOT so he has good taste...I'll have to see you one time too), just nicely tell him that while you like having him as a client you're not looking for a relationship outside of work.