On Sunday the Gunners will come across him again when they travel to the Liberty Stadium for their FA Cup third-round tie against Swansea.
Wenger said: "Honestly, Michu was not on our radar. You needed to have really deep knowledge of the market in Spain to do that. Michael Laudrup did because he has the connections.
"We keep our scouts alert, but when you are a big club like Arsenal your scouts are a little bit more cautious about players.
"Naturally they are less likely to look at players with smaller clubs. But what Michu is doing is not accidental. He is a really good player."