Coquelin revealed he had quizzed his former Arsenal team-mates over the potential move, telling his new club's official website: "They [former Arsenal team-mates] all said that Valencia is a great city and a big club, so I am very happy to be here".
The deal will contain a release clause of €80million (£71m).
The Frenchman has been at Arsenal since joining from Stade Lavallois as a 17-year-old in July 2008 following a successful trial.More news: Olympic boxing champion Claressa Shields defeats Tori Nelson
He has made only seven Premier League starts this term, though, and Wenger was happy to sanction his exit.
Coquelin completed a move to La Liga side Valencia on Thursday in a fee rumoured to be in the £12m range, marking the end of over nine years as a player with the Gunners.More news: LeBron James, Cavs routed again as Raptors romp 133-99
"It's true that there was interest in the summer but in my head I wanted to continue at Arsenal and do well there. It wasn't to be and now this opportunity has come up", he said.
"Something clicked then, I played a lot of matches, and we won a cup and finished in the podium [top three] several times. I am really grateful for that and I wish him all the very best". "I trust what he tells me", Coquelin explained while praising Arsenal's injured star Cazorla.More news: Pretium Resources Inc. (PVG) In State to Counters Short-Term Obligation