We reconsider the structure-based route to coarse graining in which the coarse-grained model is defined in such a way to reproduce some distributions functions of the original system as accurately as possible. We consider standard expressions for pressure and chemical potential applied to this family of coarse-grained models with density-dependent interactions and show that they only provide approximations to the pressure and chemical potential of the underlying original system. These approximations are then carefully compared in two cases: we consider a generic microscopic system in the low-density regime and polymer solutions under good-solvent conditions. Moreover, we show that the state-dependent potentials depend on the ensemble in which they have been derived. Therefore, care must be used in applying canonical state-dependent potentials to predict phase lines, which is typically performed in other ensembles.

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