Teamwork!

Sounds like your friends would just love Vampire - The Masquerade :)

I think I would still take this as a compliment. To me, this comment shows that the players were emotionally invested in the game at some point; they felt fear, anxiety, nervousness, etc. That will only happen if the game you created sucked them in and held their attention.

What is the theme of your game?

I think the way you make a coop game like what you describe is the same as a competitive game: scarce resources. When the team does not have quite enough resources you get that feeling of challenge and skill from eking out every advantage from what you have and everyone HAS to be involved.

I think the player comment is reflective of this: when you're skating along that thin edge it's almost inevitable that you sometimes go over: then you get the fun of trying to scrabble back out of the abyss. I would say in a good coop game the Other (AI/game/enemy player) should win about 20~35% of the time if you want your players to really feel the tension, and when your players DO win it should be by the skin of their teeth.

In terms of scaling the game, I think it is important that the power of additional players is circumscribed rather than cumulative. You can often do this by giving the Other resources/actions per player turn rather than per round (think the clock mechanic in Elder Sign). Essentially you are alternating control of the Player turn, breaking the power of one player across the whole team: in fact, a good sign of this type of coop is if it works fine with just one player. I would say this method is generally better than cumulative scaling because it's much easier to balance, it leads to more consistent gameplay overall, and it helps reign in complexity concerns.

Obviously no coop game is going to be purely circumscribed or cumulative elements. One good common scaling mechanic that bridges the categories is character powers: it is cumulative in that the team has more options, but circumscribed in that the absolute power of the Player turn does not increase. Characters are also nice because they allow players to assign themselves roles they think they'll enjoy, and they strongly encourage teamwork through specialization.