In modulation doped quantum wells, the excitons are formed as a result of the interactions of the charged holes with the electrons at the Fermi edge in the conduction band, leading to the so-called "Mahan excitons." The binding energy of Mahan excitons is expected to be greatly reduced and any quantum coherence destroyed as a result of the screening and electron-electron interactions. Surprisingly, we observe strong quantum coherence between the heavy hole and light hole excitons. Such correlations are revealed by the dominating cross-diagonal peaks in both one-quantum and two-quantum two-dimensional Fourier transform spectra. Theoretical simulations based on the optical Bloch equations where many-body effects are included phenomenologically reproduce well the experimental spectra. Time-dependent density functional theory calculations provide insight into the underlying physics and attribute the observed strong quantum coherence to a significantly reduced screening length and collective excitations of the many-electron system.