The midfielder has signed a four-and-a-half-year contract at Mestalla, including an €80million release clause.
He finally seemed to break through into the Arsenal line-up following his time with the Addicks, playing in at least 20 PremierLeague games each of the next three seasons and starting a minimum of 19 each campaign.
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.
He added: 'I've seen the team, they are doing very well, third in the table.
"I think Maitland-Niles had an outstanding performance tonight. Obviously, I am here to help the team and to help them hit their targets".
Asked after Arsenal's 0-0 Carabao Cup draw with Chelsea if Coquelin had left the club, Wenger said: "Yes".
He said: "I would sign him and I want him here permanently, but that's not my job".