That can serve as a syntactic pleonasm, which "occurs when the grammar of a language makes certain function words optional" (Wikipedia). Therefore, both of the following sentences are grammatically correct:
- I know you are coming.
I know you are coming.
- I know that you are coming.
I know that you are coming.
It's a matter of personal preference whether you leave that in or take it out; the sentences you gave will be grammatically correct either way.
