Not really clear:
1. What is your old modem and why do you need a new one?
2. What kind of Internet connection do you have (dial-up, cable, ADSL, satellite, 3G/4G)?
3. Why you need both coax in and rj11 in on your new modem?
4. What exactly is "this rj11 connector"?

Not to forget: a modem should be compatible with your provider and preferably they should have instructions on what settings to use to ensure a smooth connection. Before buying anything contact their customer support and ask them if your choice will work.

The modem on newegg you link to goes between the rj11-port in your wall and a USB-port in your PC, using the dial-up technology that I used 30 years for a 300 bps connection, but that was increased to 56 kbps 10 years later.
This was how it sounded: ?