The midfielder has signed a four-and-a-half-year contract at Mestalla, including an €80million release clause.
The former France Under-21 worldwide, who has yet to make a senior appearance for his country, says he spoke to several of his Arsenal colleagues - including Spain global Santi Cazorla - before committing to a move to LaLiga.
"I have seen the team, they are going along very well, they are third in the table".
"He is a fantastic player with lots of potential still to come, he is a joy to coach and he is a good teammate for all our players and he works very hard".
"He goes to Valencia", Wenger told Sky Sports News.
"I've watched the last few games since talks between the clubs have been accelerating, like the last one against Las Palmas in the Copa del Rey".
'I think I was looking at it on TV yesterday, and they were saying who Arsenal can sign. "He had an opportunity and I let him go".
Coquelin has spent a decade in north London having made 160 appearances for the Gunners as well as having spells out on loan at Freiburg, Lorient and Charlton Athletic.