If I do this will I lose the coins stored on the device?
Your coins are stored on the blockchain, not on your device. Only your keys are stored on the device. Very common misunderstanding.
After 3 failed attempts at entering my pin - the Nano tries to reset. When I do, it provides a new pin code - after that it wants to provide a new set of recovery words.
You probably chose the option to set up a new wallet instead of recovering a wallet.