Systems out of equilibrium exhibit a net production of entropy. We study the dynamics of a stochastic system represented by a master equation that can be modeled by a Fokker-Planck equation in a coarse-grained, mesoscopic description. We show that the corresponding coarse-grained entropy production contains information on microscopic currents that are not captured by the Fokker-Planck equation and thus cannot be deduced by it. This result suggests that the definition of equilibrium in terms of entropy production relies on the details of our description and that this is much affected by a coarse-graining procedure. Our results are amenable of experimental verification, which would help to elucidate the physical meaning of the production of entropy in systems out of equilibrium.