With the advent of pure-spin-current sources, spin-based electronic (spintronic) devices no longer require electrical charge transfer, opening new possibilities for both conducting and insulating spintronic systems. Pure spin currents have been used to suppress noise caused by thermal fluctuations in magnetic nanodevices, amplify propagating magnetization waves, and to reduce the dynamic damping in magnetic films. However, generation of coherent auto-oscillations by pure spin currents has not been achieved so far. Here we demonstrate the generation of single-mode coherent auto-oscillations in a device that combines local injection of a pure spin current with enhanced spin-wave radiation losses. Counterintuitively, radiation losses enable excitation of auto-oscillation, suppressing the nonlinear processes that prevent auto-oscillation by redistributing the energy between different modes. Our devices exhibit auto-oscillations at moderate current densities, at a microwave frequency tunable over a wide range. These findings suggest a new route for the implementation of nanoscale microwave sources for next-generation integrated electronics.