I assume that P, NP, and coNP in the question are classes of languages, not classes of promise problems. I use the same convention in this answer. (Just in case, if you are talking about classes of promise problems, then the answer is affirmative because P = NP∩coNP as classes of promise problems is equivalent to P = NP.)
Then the answer is negative in a relativized world.
The statement TFNP ⊆ FP is known as Proposition Q in the literature [FFNR03]. There is a weaker statement called Proposition Q’ [FFNR03] that every total NPMV relation with one-bit answers is in FP. (Here a relation with one-bit answers means a subset of {0,1}*×{0,1}.) It is easy to see that Proposition Q relative to some oracle implies Proposition Q’ relative to the same oracle.
Fortnow and Rogers [FR02] considered the relationships between the statement P = NP∩coNP, Proposition Q’, and a few other related statements in relativized worlds. In particular, Theorem 3.2 (or Theorem 3.3) in [FR02] implies that there is an oracle relative to which P = NP∩coNP but Proposition Q’ does not hold (and therefore Proposition Q does not hold, either). Therefore, in a relativized world, P = NP∩coNP does not imply Proposition Q; or by taking contrapositive, existence of TFNP relation which cannot be computed in polynomial time does not imply P ≠ NP∩coNP.
References
[FFNR03] Stephen A. Fenner, Lance Fortnow, Ashish V. Naik, and John D. Rogers. Inverting onto functions. Information and Computation, 186(1):90–103, Oct. 2003. DOI: 10.1016/S0890-5401(03)00119-6.
[FR02] Lance Fortnow and John D. Rogers. Separability and one-way functions. Computational Complexity, 11(3–4):137–157, June 2002. DOI: 10.1007/s00037-002-0173-4.