The Dutch coach has yet to lose a contest with Gunners boss Arsene Wenger, after the Champions League Group H clash in Holland ended 1-1 following AZ's dramatic stoppage-time equaliser.
Indeed the former Holland defender - the scorer of the goal which won Barcelona the 1992 European Cup at Wembley - masterminded a famous result when in charge of PSV Eindhoven on his last visit to north London during March 2007, where a late goal from Alex, who is now at Chelsea, saw the Gunners crash out 2-1 on aggregate.
However, Koeman accepts the challenge ahead on Wednesday is completely different with AZ, who are struggling to recapture the form which saw them win the Eredivisie title last season.
"It is always a nice feeling to be back at this stadium," said the 46-year-old boss, whose side are currently third in Group H with two points from three games.
"Of course, I remember one moment with PSV, when we played out a 1-1 draw, which was enough to beat Arsenal at that time.
"However, we are now a few years later.
"This game is the most difficult one of all six group games we will have to play."
Koeman played down the significance of his personal record against Wenger.
"You also need a bit of luck, because in those results, Arsenal could have scored and then won," said Koeman, who was in charge of Ajax when the Dutch side secured two draws against the Gunners during February 2003 in the now abandoned second group stage.
"Arsenal have a team who can go far in the Champions League. They have some fantastic individual players.
"But to reach the Champions League final is not easy. There are a lot of strong teams.
"In the knockout stages, one bad day and you will be out."
Arsenal's main attacking threat is again likely to come through Robin van Persie.
Koeman - part of the Oranje side which won the 1988 European Championships, along with Ruud Gullit, Frank Rijkaard and Marco van Basten - believes the 26-year-old striker has become one of Holland's most influential players.
"We know Robin has developed himself in a fantastic way over last few years," said Koeman.
"At the moment, he is our best Dutch player. He shows that every week with Arsenal."
Arsenal, who will be without defender Gael Clichy for several weeks with a suspected stress fracture in his lower back, will be determined to triumph.
Midfielder Abou Diaby maintains the Gunners are learning all the time, having been caught out in stoppage-time when AZ equalised in Holland a fortnight ago, and then also throwing away a 2-0 lead at West Ham.
He said: "We have to be well organised and have a good position on the pitch.
"The thing is we have to show it every time we play - that we are a great team and can achieve something at the end of the season.
"We learned a lot from the old experiences. Now we try to practice what we learned before and be better this season."
Although Czech winger Tomas Rosicky is back in the squad following a knee problem, striker Nicklas Bendtner will be out for around a month after suffering a groin injury against Tottenham last weekend.