Using the non-perturbative non-Markovian quantum state diffusion method, the exact master equation of the Heisenberg XXZ spin chain strongly coupled to the non-Markovian fermionic bath is obtained, and then the influence of environmental non-Markovian properties and coupling strength in different directions on the quantum coherence of Heisenberg spin chain is studied by using the master equation. Results show that the environmental non-Markovian properties can greatly change the recovery and relaxation time of the spin chain quantum coherence, and in additon, the coupling strength of the spin chains in different direction also affects the quantum coherence strength.