.................go for Electrum wallet or Trust wallet.
Electrum is surely a good choice, but I wouldn't recommend trustwallet. Trustwallet gives you access to your private keys. But since it's close-source, there is no guarantee that you are the only one who has access to the keys.
It's a very simple and easy-to-use wallet, it's also safe to store your Bitcoin compared to this close source wallets, for a free safe wallet just go for Electrum.
All open source wallet is good to use to avoid such problem, most likely those custodial wallets following the government's jurisdiction which might the reason OP has been experienced.
From Coinbase, you need to transfer first your coin to your Electrum wallet and then you're free to send it anywhere without thinking that you send Bitcoin to a sanctioned country or company. It's good to remember always this saying,
Not your key, Not your coins.