Seems to be a theme for a lot of ex-rags currently -a huge sense of entitlement. Doesn't want to start lower down because he thinks he is special. Has immovable belief that he can be a success. Hesitates to actually go and get a job to prove it.
Of all the reasons you would not want Dwight Yorke anywhere near your football club, I doubt very much that the colour of his skin is the issue. if he disagrees then he should put forward his evidence, make some claims and start ruffling feathers, but he'd probably be better off going away and studying some coaching courses, taking on some offers to coach reserves of youth teams initially, and, critically, coming up with some core ideas about how he wants his teams to play football and how he will help them to achieve it.
I don't doubt for a second that there is still a degree of racism in the game, even in this country, so his comments are well worth investigation. If he comes up with the facts to back it up. If not, well, just another reason for public opinion to turn against him, which ironically will make his ambition of landing a coaching job in one of the most high profile careers in the world just the little harder than before.