Heat olive oil in a large skillet over medium heat. Add onion, green bell pepper, red bell pepper, garlic, tarragon, curry powder, salt, and black pepper; cook and stir until onion is softened, about 5 minutes. Stir in diced tomatoes; bring soup to a simmer.
Stir red lentils and coconut into the soup; mix well to combine. Simmer soup, covered, adding water as needed, until lentils are tender, 15 to 20 minutes.