In my opinion, co-regulation is the fact that two transcripts (or more) are regulated by the same mechanism, e.g. the same transcription factor. Therefore, they show co-expression, their expression is correlated.

But you can also observe co-expression without knowing for sure those genes are co-regulated. Co-expression suggests co-regulation.

To expand on @WouterDeCoster's answer, co-expression describes the phenomenon while co-regulation describes the mechanism.

Nice little review on this topic:

http://infolab.stanford.edu/~wangz/project/genome/G2004.2/zhang.pdf