Natural populations are structured spatially into local populations and genetically into diverse 'genetic backgrounds' defined by different combinations of selected alleles. If selection maintains genetic backgrounds at constant frequency then neutral diversity is enhanced. By contrast, if background frequencies fluctuate then diversity is reduced. Provided that the population size of each background is large enough, these effects can be described by the structured coalescent process. Almost all the extant results based on the coalescent deal with a single selected locus. Yet we know that very large numbers of genes are under selection and that any substantial effects are likely to be due to the cumulative effects of many loci. Here, we set up a general framework for the extension of the coalescent to multilocus scenarios and we use it to study the simplest model, where strong balancing selection acting on a set of n loci maintains 2n backgrounds at constant frequencies and at linkage equilibrium. Analytical results show that the expected linked neutral diversity increases exponentially with the number of selected loci and can become extremely large. However, simulation results reveal that the structured coalescent approach breaks down when the number of backgrounds approaches the population size, because of stochastic fluctuations in background frequencies. A new method is needed to extend the structured coalescent to cases with large numbers of backgrounds.