Fix $X$ a Noetherian scheme and $\mathscr{F}$ a coherent sheaf on $X$ whose support is contained inside some closed subscheme $Y\subseteq X$. I would like to show that there is a filtration $$ 0=\mathscr{F}_n\subseteq\dots\subseteq \mathscr{F}_1\subseteq \mathscr{F}_0=\mathscr{F} $$ in which each $\mathscr{F}_i/\mathscr{F}_{i+1}$ is an $\mathcal{O}_Y$-module. It is easy to see how this implies the main result (exactness of the sequence $K(Y)\rightarrow K(X)\rightarrow K(X-Y)\rightarrow 0$ of Grothendieck groups in the middle). Unfortunately, I have been unable to establish existence of this finite filtration.
Following the general principle that I should try to reduce problems down to commutative algebra, I am aware of the following result (taken from Bourbaki's Commutative Algebra text)
[Bourbaki's Algebre Commutative, Chap. IV n$^\circ$4 Theoreme 2] Fix $A$ a noetherian ring and $M$ a finitely generated $A$-module. Then there is a filtration of modules $0=M_n\subseteq \dots\subseteq M_1\subseteq M_0=M$ with $M_i/M_{i+1}\cong A/ \mathfrak{p}_i$ where $$ \operatorname{Ass}(M)\subseteq\{\mathfrak{p}_0,\mathfrak{p}_2,\dots,\mathfrak{p}_{n-1}\}\subseteq\operatorname{Supp}(M). $$
This result easily gives the existence of a filtration in the affine case. However, I am unable to "glue" together these filtrations to a filtration of $\mathscr{F}$ itself.
I am also unable to locate a reference which proves existence of the filtration outside of this "solutions manual" which I have not read yet. On a quick glance, it appears sound to me, but I am curious to see if the above proof can be made to work.
I will appreciate either a reference or a good explanation why the first approach could not work (or even a proof that it could work!). Thank you.