Wenger has been the target of heavy criticism from sections of Arsenal's support, with a banner unfurled following Saturday's 1-0 victory at West Brom which urged the Frenchman to step down.
Koeman is enjoying an altogether more positive reaction from Southampton fans and, despite Sunday's chastening 3-0 home loss to Manchester City, his side are third and six points clear of Arsenal.
The Dutchman also guided the south-coast club to a 2-1 win in September's League Cup match at the Emirates Stadium and is looking forward to pitting his wits against Wenger again.
"I have a lot of respect for the career of Wenger, because he's a long time in Arsenal," he said.
"He's doing a fantastic job, but what I said before, teams like Arsenal, if they don't fight for the title there are some critics.
"It's always nice to play against him, because he likes to play offensive, good football. That means that you will get space to play by yourself.
"And we had a fantastic game in the League Cup that we won. That gives us confidence, but to play and to win against that kind of team you have to be good."
Southampton have not won a league match at Arsenal since 1987.
