Yep - in newspapers (or sale ads) but not on specific days (at least for our Macy's) It's usually in there for sales and usually for 15% off sale and clearance merchandise (a few brands are excluded) Some sales don't include the coupon though - they'll be advertised "no coupons needed" or something like that.
If you have a Macy's card, you'll get those discounts without the coupon - there's always a cardholder discount when there's a public discount, but often there are cardholder discounts without a public one.
I've been working at Macy's for a few months and I know that, especially on here, that people try to shy away from CCs but people can get some REALLY good deals with the Macy's card. Like I mentioned above, there are cardholder discounts. And since you can pay at any register, you can (and I've suggested to many people to do this - they were excited when they realized they could) put everything on your card for the discount and immediately pay it off so you never deal with a bill or interest but you get the discount. PLUS the more you spend, the more rewards you get (Macy's Star Rewards) so you'll get credit for all your purchases to bump up your rewards while essentially paying cash. People come in all the time with coupons for percentages off (choose your own sale), gift cards, etc. Oh and during the holidays they have "Thanks for Sharing" - it costs $25 to sign up, but $10 goes to charity . . . then you get 10% of what you spent until the end of the year back in a gift card. We've had people come in with a couple hundred dollars they got back. The average is $75 per person. If you're not the type of person to let a balance sit on the card, you can really come out ahead with all the discounts offered. Definitely one of the best "rewards" type cards I've seen.
OH! And if you don't have the card but sign up on an extra cardholder discount day. . you get to stack the discounts! So you get the 10 or 15% off right away (sometimes 20%) AND you get an extra 15% (occasionally they'll bump it upto 20%) new cardholder discount that comes off with the statement. . . takes a couple days to process.