The pair have been joined in the new venture by two former directors at Therapy, Simon Levene and Michael Baldwin.
Coy! currently has two projects underway, with Denton directing a Nescafe ad for McCann Erickson, and Levene filming a Lucozade spot for M&C Saatchi.
Therapy will continue to be run by Denton's co-founder Malcolm Venville.
Denton said: "Therapy had grown relatively rapidly, and I found its size a distraction. Once you get big, you have to keep fuelling the machine. I want to keep Coy! controllable so that I can concentrate on doing great creative work. With Coy!, I'm continuing what I did at Therapy, without the distraction of its size."
Cummins said: "We want to keep a boutique feeling at Coy! and not let it get too big. It's all about the ideas."
Denton was a partner and creative director at Therapy for five years. He is also the chief executive of Mark Denton Design and the chairman of the Creative Circle Awards.
Separately, Guy Manwaring, a junior partner at Therapy Films, has left the company to join Sonny London.