The midfielder returned to the side in Sunday's 2-1 win over Leicester City.
The French midfielder is currently a key player in the Arsenal line up, having broken through into the first team setup last season.
That came after Wenger handed him his chance last season when a raft of injuries forced the Gunners boss to recall him from a loan spell at Championship side Charlton.
And Coquelin says he is now determined to give his all every time he plays so that he can reward his manager for giving him his chance to impress.
“He's a great manager,” he told the Mirror.
“He's won everything and he always goes for younger players which is why I came here. He's not scared to play younger players.”
“It's massive when you know the manager has your back and confidence in you. It's a big thing and every time I play I want to give something back to him because he gave me my chance. Now I want to do really well for Arsenal."
Coquelin will now be hoping that he can have a big impact on the side in the remaining games of the season after his return from injury.
He has been sorely missed since picking up a knee injury back in November, but made his return in Sunday’s win over Leicester City, showing the kind of the defensive steel that has made him such a big hit in the side.
With fixtures against Tottenham, Manchester City and Manchester United all to come, his return could prove to be crucial as the Gunners look to secure the title come the end of the season.