Basically, it is extremely difficult to get solids to burn. It
is even somewhat difficult to get liquids to burn! Gasses burn.
Heat turns liquids or solids to gasses and then they burn. In a car
engine, fuel injectors turn the gasoline into a fine spray which
quickly evaporates into a gas. It then burns.
Coal does not burn. A fire heats coal. Then coal gives off
gasses. The gasses burn. Then the coal gets hotter. As the coal
gets hotter, some of the carbon in the coal turns to gaseous
carbon, some of the carbon does not, those flakes of carbon become
soot. The carbon gas burns. Some stuff simply is left.