The coccyx is the vestigial remnants of a tail. It even has some vestigial muscles found in monkeys, which in apes are now useless, being attached to fused and immovable bones.
Occasionally, the genes that prevent the full development of our tails don't work as they normally do, and we get humans with true tails.
Minerva Pediatr. 2001 Aug;53(4):367-70.True tail dorsal-lumbar: malformation or ancestral remaining
Galizia G.
U. O. di Pediatria, ASL SA/1, Ospedale M. Scarlato di Scafati, Italy.
The case of a healthy newborn presenting a dorsal-lumbar cutaneous appendage is reported. The appendage was excised by ligature. This appendage was not associated with dysraphism or other malformations. It was analysed histologically and then defined as a so called true tail. Although it was been expressed a lot of hypotheses, the etiology of this finding remains disputed. The embryology of malformation and its non identification between known-syndromes is showed. The difference between true tails and not-true tails is discussed. The conclusion is drawn that for its clinical and histological aspect this malformation may be included in true tails.