Exchangeable coalescents with dust are studied. The rate of convergence as the sample size tends to infinity of the scaled block counting process to the frequency of singleton process is determined. This rate is expressed in terms of a certain Bernstein function. The proofs are based on Taylor expansions of the infinitesimal generators and semigroups and involve a particular concentration inequality arising in the context of Karlin's infinite urn model. The rate of convergence is calculated for several examples of coalescents.