I googled it and wiki said COEX is the biggest underground mall in Asia, the largest shopping center in Seoul, and very popular so... I have no idea what happened there. Maybe it's cause she's by herself so not that many people noticed.
I know if it was me I might have been like, "Is that Jessica from SNSD? o_O... NAH! Couldn't be, where are the others?!" And then discretely follow her around for a couple minutes and see if anyone else notices. >_>