Oxlade-Chamberlain says the Frenchman has an "aura" about him.
He told the Mirror: "The boss always lets you express yourself. We're quite intricate and people sometimes say we take risks with the ball, but that's because we have confidence and belief in our own ability all over the pitch.
"That's how he [Wenger] brings out the best in young players. When I first came, stepping into the Premier League, I had a lot to learn and I learned a lot from them. The boss helped me with that.
"He used to say I had the natural ability, we just needed to tune the rest of the game in, and that will come with time. A year later, it's improved, but he's still saying that to me. Always trying to improve you.
"He has that aura about him - you're not scared of him and you can speak to him but you respect him so much you don't want to mess up in front of him. He always keeps your standards high."