If you are eating the beans (as in, e.g., chocolate coverered coffee beans), they most definitely have calories. But you are using them to make coffee, I think the resulting coffee has about the same number of calories as regular coffee, which is small enough to not worry about unless you are drinking excessive amounts.
Here are a couple of Q&A's on this topic that I found with a google search:
Do flavored coffees have more calories? (St. Petersburg Times)
Does flavored coffee have more fat and calories than regular coffee? (Runner's World)