In most cases it's fine. I can personally vouch that it's fine in a Honda.
If the engine is running, there's a pump that's lubricating the transmission.
Some automatics don't tolerate engine-off coasting. Hyundai is one. Some are ok with it. Some have "limits' like Honda: up to 35 mph for up to 50 miles. Since I never coast for 50 miles at a time, I feel it's ok to push the mph limit a bit. Then again, the gains from EOC at highway speed are much smaller than in the city, so it's less relevant there.