With MIMO and enhanced beamforming features, IEEE 802.11ay is poised to create the next generation of mmWave WLANs that can provide over 100 Gbps data rate. However, beamforming between densely deployed APs and clients incurs unacceptable overhead. On the other hand, the absence of up-to-date beamforming information restricts the diversity gains available through MIMO and multi-users, reducing the overall network capacity. This paper presents a novel approach of "coordinated beamforming" (called CoBF) where only a small subset of APs are selected for beamforming in the 802.11ay mmWave WLANs. Based on the concept of uncertainty, CoBF predicts the APs whose beamforming information is likely outdated and needs updating. The proposed approach complements the existing per-link beamforming solutions and extends their effectiveness from link-level to network-level. Furthermore, CoBF leverages the AP uncertainty to create MU-MIMO groups through interference-aware scheduling in 802.11ay WLANs. With extensive experimentation and simulations, we show that CoBF can significantly reduce beamforming overhead and improve network capacity for 802.11ay WLANs.