Portland, MAINE. They're very much in the East.
That said, unlike the five teams that took part in this move, the Coyotes don't _own_ their AHL team. The Portland Pirates are owned by a local (that is, in Maine) owner. The Pirates pay the Coyotes somewhere on the order of 1-2 million dollars a year for an affiliation, in return for which, the Coyotes provide the AHL players (and in some cases, the coaching and GM staff) and pay their salaries.
So, the Coyotes could think about trying to convince another independently-owned team to take their players, but all of those teams currently have affiliations with other NHL teams.
The difference between affiliation (providing players) and ownership (legal control of the franchise) is also at play for Colorado -- the Lake Erie Monsters are _owned_ by the owner of the NBA Cavaliers, but _affiliated_ with the Avalanche. It's also why this move to the West for the AHL has taken many years to make happen -- Anaheim didn't own their AHL franchise, and it apparently took some maneuvering to convince the Norfolk owner to sell the franchise to them so they could move both the players AND the team to San Diego.
The Coyotes ownership has more pressing financial issues to look to without the complication of losing money on an AHL franchise they'd have to spend money to purchase, then find an arena somewhere to give them a lease, in my opinion. Perhaps they might manage something for 2016-17, but it shouldn't be their first priority.