The 27-year-old joined the Gunners this summer in a fee in the region of 22.25 million euros and has already impressed with three outstanding performances so far this campaign.
Wenger feels the Spaniard’s attitude towards the game and his teammates is the reason for his early success.
"Cazorla has gained the respect of everybody very quickly," Wenger told reporters. "Cazorla is humble, he loves the game and that is what you want from every football player.
"They talk on the pitch, don't need to speak too much, just go on the pitch and show what you can do. That is what he does.
"He loves the game, loves to play with his partners and that is the best way to gain respect from everybody."
He added: "They are used to European football much more than the Premier League.
"The Premier League is a bit more special thanks to the rhythm of the games, the pace, the intensity of the commitment, intensity of every challenge.
"Sometimes [it is difficult] to adapt to that, but the way we play is a very continental style, so it gives them a good chance to adapt very quickly.
"Players like Cazorla have adapted in a speedy way, the game goes through them.
"Sometimes it is easy in the middle of the park, sometimes it is easy in the center of the pitch to adapt because the game goes more through you."