A K-tier heterogeneous downlink millimeter wave (mmWave) cellular network with user-centric small cell deployments is studied in this paper. In particular, we consider a heterogeneous network model with user equipments (UEs) being deployed according to a Poisson Cluster Process (PCP), i.e., Thomas cluster process, where the UEs are clustered around the base stations (BSs) and the distances between UEs and the BS are modeled as Gaussian distributed. In addition, distinguishing features of mmWave communications including directional beamforming and a sophisticated path loss model incorporating both line-of-sight (LOS) and non-line-of-sight (NLOS) transmissions, are taken into account. In this paper, the complementary cumulative distribution function (CCDF) and probability density function (PDF) of the path loss are provided. Also, using tools from stochastic geometry, we derive a general expression of the signal-to-interference-plus-noise ratio (SINR) coverage probability. Our results demonstrate that coverage probability can be improved by decreasing the size of UE clusters around BSs, and interference has noticeable influence on the coverage performance of our model.