A wallet that you hold the private keys for and is therefore in your control. 

Coinbase Wallet is a self-custody wallet that gives you complete control of your digital assets. This means that the private keys (that represent ownership of the cryptocurrency) for your Wallet are stored directly on your web browser or mobile device and not with a centralized exchange like Coinbase.com.

To learn more about setting up a Coinbase wallet address, visit the following help articles:

What is Coinbase Wallet?

What’s the difference between Coinbase.com and Coinbase Wallet?

Coinbase Wallet extension