Hello snp,

I would think that the power calculated in HFSS is represented in Transient (or Steady State) Thermal as an internal heat generation in the material, which is in the units of W/mm^3

That heat flows out of the material through convection at the surface to the ambient air.  You need to specify a film coefficient for the convective heat transfer, and pick the faces that the solver will use to transfer the heat from the coils to the ambient air.