When there is no Coupon Thank You Page assigned to the Coupon, it will go to a 404 error page. You can verify that by editing the coupon page in the Pages section and going to the Design Items section in Step 2 (Properties). Open up the Redeem Button tab.
Then scroll down until you see the Thank You page section. In the Select Page dropdown, if nothing is selected ("Choose one"), then that's the reason why it's going to a 404 Error Page after redeeming the coupon.
If you already have a Coupon Thank You Page (or Redeem Thank You Page), select the page in the Select Page dropdown, then Save.
If you have an external webpage that you'd like to use as the Thank You Page, set the Thank You page to Custom, then paste the URL in the Thank You page URL field.