There was an exodus of key players from the South Coast club last season including Adam Lallana, Calum Chambers and Luke Shaw, following in the footsteps of Gareth Bale, Theo Walcott and Alex Oxlade-Chamberlain.
"I think if you look at the talents they have sold over the years, they could have been contenders to win the Premier League because they lost Oxlade-Chamberlain, Walcott, Bale plus all the players they lost last season, plus all the players they still have," Wenger told reporters.
"They have done a fantastic job at Southampton, they deserve a lot of credit.
"They are miracle-workers at Southampton and you must say everybody expected them to collapse, they lost the spine of their team, they lost their manager and they bounced back in a such a way."
Koeman replaced Mauricio Pochettino, who joined Tottenham Hotspur during the summer.