Gretzky traveled to San Jose on Tuesday to rejoin the team after taking a leave of absence on Dec. 17 so that he could return to his hometown of Brantford, Ont., and be with his dying mother.
Phyllis Gretzky, 64, died Dec. 19 in a hospital in Brantford, surrounded by her family, after a lengthy battle with lung cancer.
"The decision (to return) was more on the basis of it's a big commitment and responsibility that goes with it, you want to make sure you're mentally ready," Gretzky told reporters after the club's pre-game skate Wednesday.
Wayne Gretzky returns as Phoenix coach on Wednesday. (Getty Images)
"Playing the game itself is different, in the sense you get out there, you're energized and you're using that physical part of your body. Coaching is more of a mental aspect. You have to be mentally ready and mentally prepared. I didn't feel by any means I would have been prepared to coach Monday."
In Gretzky's absence, assistant Rick Tocchet coached the Coyotes and led the club to two wins in five games.
The 44-year-old Gretzky is expected to resume his duties as the executive director of Canada's men's Olympic hockey team in January, according to Hockey Canada officials.