CeCoIn5 is a heavy fermion type-II superconductor showing clear signs of Pauli-limited superconductivity. A variety of measurements give evidence for a transition at high magnetic fields inside the superconducting state, when the field is applied either parallel to or perpendicular to the c axis. When the field is perpendicular to the c axis, antiferromagnetic order develops on the high-field side of the transition. This order remains as the field is rotated out of the basal plane, but the associated moment eventually disappears above 17°, indicating that anomalies seen with the field parallel to the c axis are not related to this magnetic order. We discuss the implications of this finding.