Preheat oven to 450 degrees. Wrap beets and 2 peeled shallots in foil. Place directly into oven and roast until beets can be easily pierced with a paring knife, 45-90 minutes. Allow beets to cool and slice to ¼ inch thickness. Layer beets in 2 mason jars. Place a bay leaf and cinnamon stick in each jar. Heat vinegar, water, sugar, salt, coffee beans, and peppercorns in a saucepan over medium high heat. Bring to a boil and lower heat. Simmer a few minutes until salt and sugar have dissolved.
Pour hot liquid over the beets. Distribute liquid and spices evenly between two jars. Secure lids tightly and refrigerate. Pickles will be ready to eat in about 24 hours and will keep in the refrigerator for about a month.
*Beets are messy and can stain!