The energy density functional (EDF) method is very widely used in nuclear physics, and among the various existing functionals those based on the relativistic Hartree (RH) approximation are very popular because the exchange contributions (Fock terms) are numerically rather onerous to calculate. Although it is possible to somehow mock up the effects of meson-induced exchange terms by adjusting the meson-nucleon couplings, the lack of Coulomb exchange contributions hampers the accuracy of predictions. In this note, we show that the Coulomb exchange effects can be easily included with a good accuracy in a perturbative approach. Therefore, it would be desirable for future relativistic EDF models to incorporate Coulomb exchange effects, at least to some order of perturbation.