Koeman's side humbled the Gunners in a third-round League Cup clash at the Emirates on Tuesday to make it five straight victories in all competitions.
However, the Dutchman says that his troops have no desire to rest on their laurels ahead of facing QPR at St Mary's on Saturday afternoon.
"We planned for Wednesday to be a day off after the Tuesday, but Jose Fonte said to me, 'Boss, we'd like to come and train tomorrow'," he told reporters.
"I said: 'But you have a day off - I've planned a lot of things with my wife!' So we changed it, and we had a recovery session.
"The players showed a great ambition. I've never had a squad say no to a day off. That means a lot for me. We've spoken to each other and said that if they win against Queens Park Rangers then they'll get that day off next week, so we hope to win on Saturday."
Kickoff at St Mary's gets underway at 3pm.