We analyze various perspectives on the elliptic genus of non-compact supersymmetric coset conformal field theories with central charge larger than three. We calculate the holomorphic part of the elliptic genus via a free field description of the model, and show that it agrees with algebraic expectations. The holomorphic part of the elliptic genus is directly related to an Appell-Lerch sum and behaves anomalously under modular transformations. We analyze the origin of the anomaly by calculating the elliptic genus through a path integral in a coset conformal field theory. The path integral codes both the holomorphic part of the elliptic genus, and a non-holomorphic remainder that finds its origin in the continuous spectrum of the non-compact model. The remainder term can be shown to agree with a function that mathematicians introduced to parameterize the difference between mock theta functions and Jacobi forms. The holomorphic part of the elliptic genus thus has a path integral completion which renders it non-holomorphic and modular.