I just read an article Deconstructing Chocolate Gelt by Leah Koenig which traces the adoption of chocolate coins into American Hanukkah celebrations. She writes:
Along with playing dreidel, frying latkes and lighting menorahs, gelt and gift exchanges solidified Hanukkah’s appeal as a bright spot on the long, dark stretch of calendar between the high holidays and Passover, as well as a significant celebratory parallel to Christmas.
Hoping to capitalize on the blossoming interest around Hanukkah, American candy companies like Loft’s first introduced gold and silver-wrapped chocolate gelt in the 1920s. Rabbi Debbie Prinz, who is researching the historical connections between Jews and chocolate, said that these companies may have drawn their inspiration from the chocolate coins (called “geld”) given to children as part of the St. Nicholas holiday throughout Belgium and the Netherlands in early December.
The article also notes something that has bothered me recently: the chocolate coins I've had are waxy and not very nice to eat. Last year I bought a whole box with something like 20 of the little mesh bags of coins. This year, I passed up several opportunities to buy them. They just aren't that good.