Steve Rogers knows that Phil Coulson is alive because he's a level 8 agent (specifically says in Agents of SHIELD that level 7 agents find out Phil is alive) and so does Natasha. Natasha doesn't tell the Avengers because she's good at keeping secrets and stuff. Cap. America keeps it a secret for a while, but after the events of The Winter Soldier, he tells the rest of the Avengers because SHIELD is no longer a thing.