We report on the observation of coherence resonance for a semiconductor laser with short optical feedback close to Hopf bifurcations. Noise-induced self-pulsations are documented by distinct Lorentzian-like features in the power spectrum. The character of coherence is critically related to the type of the bifurcation. In the supercritical case, spectral width and height of the peak are monotonic functions of the noise level. In contrast, for the subcritical bifurcation, the width exhibits a minimum, translating into resonance behavior of the correlation time in the pulsation transients. A theoretical analysis based on the generic model of a self-sustained oscillator demonstrates that these observations are of general nature and are related to the fact that the damping depends qualitatively different on the noise intensity for the subcritical and supercritical case.