Speaking into the camera, Coulibaly, who is positioned in front of an IS flag, says he "came out against the police".
Text playing over the image during the posthumous video confirms he killed a policewoman in southern Paris on Thursday and attacked a kosher supermarket in the city the following day.
The SITE Intelligence Group said it had verified the video, which shows Coulibaly with a gun, exercising and giving speeches.
He defends the attacks on the satirical magazine Charlie Hebdo, police and a Jewish supermarket.
"What we're doing at the moment is totally legitimate, taking into consideration what they are doing.
"It's well deserved, considering how long it's been going on.
"You cannot expect to attack us, the caliphate and Islamic State, and not expect any kind of response."
On Thursday, Clarissa Jean-Philippe was killed by Coulibaly after responding to reports of a traffic accident as a municipal police officer in the suburb of Montrouge.
A day earlier, brothers Said and Cherif Kouachi attacked the offices of Charlie Hebdo, leaving 12 people dead.
On Friday, Coulibaly walked into a kosher supermarket in the eastern suburb of Vincennes armed with two Kalashnikov rifles.
He killed four people and took more than a dozen others hostage, before being killed by police after a stand-off with officers.
Before the raid by police, Coulibaly had demanded the Kouachi brothers be released.
At the time, they were trapped in a printing house near Paris' Charles de Gaulle airport.
All three men were killed in almost simultaneous raids by police.
Authorities are still hunting Coulibaly's "armed and dangerous" partner Hayat Boumeddiene, who left for Turkey on 2 January and may have travelled to Syria.
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